-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, LxfRQiwY9t0Hmy83UMEYzTv0AA2DpED6UQZiN61FKK+grx24Ixx8iP5vVoYR0cTH mFp6rG6smwF59JUIy2h+XQ== 0000932471-02-000470.txt : 20020415 0000932471-02-000470.hdr.sgml : 20020415 ACCESSION NUMBER: 0000932471-02-000470 CONFORMED SUBMISSION TYPE: N-30D/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20011231 FILED AS OF DATE: 20020311 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD INDEX FUNDS/ CENTRAL INDEX KEY: 0000036405 IRS NUMBER: 231999755 FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-02652 FILM NUMBER: 02571718 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: VM #V34 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106696289 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD INDEX TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: FIRST INDEX INVESTMENT TRUST DATE OF NAME CHANGE: 19800904 N-30D/A 1 indexfunds.txt VANGUARD INDEX FUNDS N-30D/A AMENDMENT FILING VANGUARD(R)500 INDEX FUND ANNUAL REPORT * DECEMBER 31, 2001 STOCK [THE VANGUARD LOGO] PERSPECTIVE Maintaining a long-term investment perspective isn't easy. Perhaps that's why it has proven to be so rewarding. With news, information, and opinion constantly bombarding us, the temptation to buy or sell--to do something--is powerful. Yet such activity is often counterproductive. Emotions can lead us to big mistakes, like jumping into a hot investment we know little about or selling a sound long-term holding when it sags for a while. The actions we recommend are quite simple. First, take the time to decide on a mix of stocks, bonds, and cash investments that makes sense for you. Take into account your investment time horizon, your goals, and your ability and willingness to ride out market fluctuations. Write this mix down--it's your investment plan. Second, use low-cost, widely diversified mutual funds to carry out your asset allocation. Third, stick with your plan, unless there's a major change in your time horizon, goals, or financial situation. Don't "play the market"--and if you feel you must, don't risk more than a tiny percentage of your assets. Finally, if market news, the opinions of "experts," or the hope of a big score tempts you to act, consult your plan. It may help you keep a long-term perspective. - -------------------------------------------------------------------------------- CONTENTS Letter from the Chairman 1 Fund Profile 8 Glossary of Investment Terms 9 Performance Summary 10 Your Fund's After-Tax Returns 11 Financial Statements 12 Advantages of Vanguard.com 27 SUMMARY * During 2001, Vanguard 500 Index Fund returned -;12.0%, as large-capitalization stocks struggled. * Hard-hit technology stocks accounted for much of the fund's poor performance. * In August, the 500 Index Fund--the first index mutual fund--celebrated its 25th anniversary. LETTER FROM THE CHAIRMAN Fellow Shareholder, During 2001, VANGUARD(R) 500 INDEX FUND returned -;12.0%, which was in line with the -;11.9% return of its benchmark. Although the negative return was a disappointment, the fund's performance surpassed that of the average large-capitalization core mutual fund, which paid a price for its higher-risk profile in a volatile stock market. The table below presents the 12-month total returns (capital change plus reinvested dividends) for our fund, its average competitor, and its unmanaged target index. We also present the result for our Admiral(TM) Shares--a lower-cost share class designed for long-tenured and high-balance investors who create economies of scale for the fund. - -------------------------------------------------------------------------------- 2001 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 - -------------------------------------------------------------------------------- VANGUARD 500 INDEX FUND Investor Shares -12.0% Admiral Shares -12.0 Average Large-Cap Core Fund* -13.8 S&P 500 Index -11.9 - -------------------------------------------------------------------------------- *Derived from data provided by Lipper Inc. The table on page 5 provides details about the total return for each share class, including changes in share price and distributions of income and capital gains. If you hold your Vanguard 500 Index Fund shares in a taxable account, we direct your attention to information about the fund's after-tax performance on page 11. FINANCIAL MARKETS IN REVIEW Stock investors were sorely tested in 2001. The longest economic expansion in U.S. history ended in March and a recession began. Corporate profits and stock market valuations were already down sharply before September 11. The terrorist attacks led to a four-day hiatus from stock trading, and stock prices lost more ground when trading resumed. However, a rally took hold in the remainder of the year, reducing the market's losses. For the full 12 months, though, the broad U.S. stock market lost more than 10% of its value, producing its first back-to-back yearly losses since 1973-;1974. During the first nine months of the year, value-oriented shares outperformed growth stocks--by declining more modestly. But the fourth quarter's upturn brought a reversal: Growth stocks delivered the strongest gains. Small-cap stocks bested large ones throughout the year. On balance, stocks declined -;11.0% as measured by the Wilshire 5000 Total Market Index. The dismal environment for stocks proved to be a tonic for bonds. In an aggressive attempt to jump-start the flagging U.S. economy, the Federal 1 - -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 ------------------------------- ONE THREE FIVE YEAR YEARS YEARS - -------------------------------------------------------------------------------- STOCKS S&P 500 Index (Large-caps) -11.9% -1.0% 10.7% Russell 2000 Index (Small-caps) 2.5 6.4 7.5 Wilshire 5000 Index (Entire market) -11.0 -0.7 9.7 MSCI EAFE Index (International) -22.0 -5.3 0.7 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index (Entire market) 8.4% 6.3% 7.4% Lehman 10 Year Municipal Bond Index 4.6 4.6 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 4.1 4.9 5.0 ================================================================================ CPI Consumer Price Index 1.6% 2.5% 2.2% - -------------------------------------------------------------------------------- Reserve Board slashed interest rates 11 times. As shown in the chart below, the Fed pushed its target for short-term interest rates from 6.50% to 1.75%--the lowest level in four decades. Lower interest rates translated into meaningful price gains for most high-quality bonds. For the year, the Lehman Brothers Aggregate Bond Index, a measure of the entire market for investment-grade U.S. bonds, returned 8.4%. Of course, lower rates can be tough on investors who depend on fixed income securities for current income. By the end of the year, the yield of the 3-month U.S. Treasury bill had plunged to 1.72%, down from 5.90% at the beginning of the year and roughly even with the rate of inflation. As a result, most short-term investment vehicles were providing minuscule "real," or inflation-adjusted, returns. The yields of the 10-year Treasury note and the 30-year Treasury bond finished 2001 little changed, at 5.05% and 5.47%, respectively. International stock markets generally followed the U.S. market's descent. Signs of economic weakness had already emerged across Europe and in the Pacific region when the U.S. economy decelerated in early 2001. A slowdown in demand from the United States--the world's largest consumer of imported - -------------------------------------------------------------------------------- A RECORD NUMBER OF INTEREST RATE CUTS (12 MONTHS ENDED DECEMBER 31, 2001) In 2001, the Federal Reserve Board lowered its target for short-term interest rates a record 11 times. By repeatedly reducing the federal funds rate--the interest rate that banks charge each other for overnight loans made through the Federal Reserve System-- the Fed hoped to encourage investment and economic growth. 12/31/2000 6.5 1/3/2001 6 1/31/2001 5.5 2/28/2001 5.5 3/20/2001 5 4/18/2001 4.5 5/15/2001 4 6/27/2001 3.75 7/30/2001 3.75 8/21/2001 3.5 8/31/2001 3.5 9/17/2001 3 10/2/2001 2.5 11/6/2201 2 12/11/2001 1.75 - -------------------------------------------------------------------------------- Source: Federal Reserve Board. 2 goods--trimmed corporate earnings worldwide. And skepticism about the future of many technology and telecommunications companies only made matters worse. The strength of the U.S. dollar versus the Japanese yen, the euro, and a number of other currencies further exacerbated poor returns for U.S. investors in many markets. The Morgan Stanley Capital International Europe, Australasia, Far East (EAFE) Index returned -;22.0% in dollars for the 12 months. 2001 PERFORMANCE OVERVIEW The large-cap stocks that dominate Vanguard 500 Index Fund's portfolio took a wild ride during 2001, experiencing a sharp decline for most of the year, then rallying in the final months. Ultimately, the fourth-quarter rally was too little too late, and the fund, like the benchmark it seeks to match, finished the year with a double-digit loss. During the first nine months of 2001, large-cap stocks, particularly large-cap growth stocks, continued the decline that began in March 2000. One of the hardest-hit sectors was technology stocks, which at one time accounted for more than 30% of the fund's holdings. As corporations slashed their capital budgets, technology companies reported shrinking profits or even big losses, and investors penalized their stock prices. By year's end, technology stocks made up just 17% of the portfolio. - -------------------------------------------------------------------------------- ONE OF THE HARDEST-HIT MARKET SECTORS WAS TECHNOLOGY STOCKS, which at one time accounted for more than 30% of the fund's holdings. - -------------------------------------------------------------------------------- The best-performing sector for the year was consumer discretionary stocks, with notable strength among big-box discount retailers such as Home Depot and Wal-Mart. As the economic recession took hold, consumers directed their dollars to low-price merchants. Materials & processing stocks--the companies that make the economy's basic building blocks such as steel and aluminum--also performed well. LONG-TERM PERFORMANCE OVERVIEW Perhaps the most noteworthy development during 2001 was not performance-related, but an anniversary. In August, Vanguard 500 Index Fund, the first index mutual fund and now the world's largest mutual fund, celebrated its 25th anniversary. The fund's quarter-century of operations and its wide acceptance among investors are testament to the virtues of index investing--an idea derided as "un-American" and a sure path to mediocrity when the 500 Index Fund made its debut. We offer an assessment of the fund's first 25 years on pages 6 and 7. Indexing is a long-term strategy, and its strengths--low costs, diversification, and high levels of tax efficiency--are most apparent over a long time frame. The table on page 4 shows the average annual returns 3 - -------------------------------------------------------------------------------- TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2001 ------------------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- VANGUARD 500 INDEX FUND INVESTOR SHARES 12.8% $33,473 Average Large-Cap Core Fund 11.2 28,853 S&P 500 Index 12.9 33,755 - -------------------------------------------------------------------------------- of the 500 Index Fund, the average large-cap core mutual fund, and the Standard & Poor's 500 Index for the ten years ended December 31, 2001. During the past decade, Vanguard 500 Index Fund kept pace with the return of its unmanaged benchmark--which incurs neither operating nor transaction costs--and surpassed the return of its average actively managed rival by 1.6 percentage points. Much of the 500 Index Fund's excellent record can be attributed to its broad diversification and policy of remaining fully invested in a stock market that has risen historically. But it has had another major advantage as well: low costs. While the Investor Shares of Vanguard 500 Index Fund have an expense ratio (operating expenses as a percentage of assets) of just 0.18%, the average large-cap core fund charges 1.36%, more than seven times as much. And because the fund generally buys and holds the stocks in its portfolio, rather than trading rapidly, it incurs lower transaction costs than its actively managed counterparts. Trading costs are only one of the areas in which your fund's buy-and-hold strategy holds down the costs of investing. Our indexing strategy has also reduced the drag of taxes by resulting in very modest distributions of realized capital gains on portfolio securities. Indeed, the fund made no capital gain distributions in 2001 or 2000. In recent years, some self-proclaimed experts have predicted that index funds would realize large capital gains during stock market downturns because shareholder redemptions would require the sale of appreciated securities. These dire predictions proved false for two reasons. First, shareholders have not panicked and dumped shares in a down market. Second, the fund would always be able to sell its highest-cost shares first, so in a declining market nothing short of mammoth redemptions would be likely to trigger net gains. Over ten years, the performance drag of higher costs added up to big money. A hypothetical $10,000 investment in 500 Index Fund Investor Shares grew to $33,473, $4,620 more than the same investment in the average large-cap core fund. In fact, these results probably understate the 500 Index Fund's relative performance. The average return for peer mutual funds takes into account only those funds that survived for the entire decade. The records of funds that disappeared, typically because of poor performance, vanish from the calculation. Returns for peer funds also do not reflect up-front sales commissions charged to investors in some large-cap core funds. 4 IN CLOSING As the fund's long-term results suggest, indexing is a powerful long-term strategy. But it requires patience and persistence. After all, we've just experienced two difficult years in which Vanguard 500 Index Fund, and the benchmark it tracks, posted negative returns. In order to reap the long-term benefits of an index fund's low-cost, broad-based exposure to the stock market, it's imperative to stick with your investment through good times and bad. One way to fortify your resolve during the stock market's weak periods is to develop a balanced portfolio, including not only broadly diversified stock funds, but also bond funds and money market funds. Index funds such as Vanguard 500 Index Fund are one of the simplest--and most efficient--means of putting these plans into place. We thank you for entrusting your hard-earned dollars to us, and we extend a warm welcome to our new shareholders. SINCERELY, /S/ JOHN J. BRENNAN JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 11, 2002 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DISTRIBUTIONS SHARE PRICE PER SHARE -------------------------- ------------------- STARTING: ENDING: INCOME CAPITAL DEC. 31, 2000 DEC. 31, 2001 DIVIDENDS GAINS - -------------------------------------------------------------------------------- VANGUARD 500 INDEX FUND Investor Shares $121.86 $105.89 $1.275 $0.000 Admiral Shares 121.87 105.89 1.338 0.000 - -------------------------------------------------------------------------------- 5 - -------------------------------------------------------------------------------- VANGUARD 500 INDEX FUND: THE FIRST 25 YEARS Your fund, the nation's first index mutual fund, completed 25 years of operation in 2001. As we report on its performance in that anniversary year, we thought we would also take a brief look back at the fund's first quarter-century. First Index Investment Trust, as it was called then, began on August 31, 1976, with net assets of just $11.4 million, less than one-tenth of the sum we had hoped to attract. From this modest start, Vanguard 500 Index Fund has become the world's largest mutual fund, with $87 billion in net assets by year-end 2001. Each of the stock, bond, and balanced index funds we have created since 1976 is based on the same simple premises as your 500 Index Fund: * First, a basic truth: In any given period, all investors as a group earn whatever return the market provides--before deducting the costs of investing. Some investors will earn above-average returns, some lower. But collectively, they are the market, so they earn the market return. * Second, a matter of math: The return that investors, in the aggregate, actually receive will always be lower than the market return by an amount equal to the cost of investing--brokerage commissions, fund operating expenses, account maintenance fees, and the like. * A low-cost index fund gives individual investors a way to come as close as possible to the market's return by staying fully invested and minimizing costs. And history has shown that only a minority of actively managed mutual funds has been able to provide long-term returns exceeding those of the market. A QUARTER-CENTURY OF PROOF Over 25 years, the 500 Index Fund's record has verified the theories on which the fund was based. Let's look at that record. A $10,000 investment in the fund made at the end of 1976 and held ever since, with dividends and capital gains distributions reinvested, would by now have grown to $234,257--an annualized return of 13.45%, before taxes. Of the 356 general equity mutual funds that existed when our fund began, only 95, or less than 27%, have done better over the years since. Indeed, a full 160 of those original competitors are no longer around, underscoring the reality that survival of the fittest is the rule in the investment business as well as in nature. Given the heavy odds against selecting, in advance, an actively managed fund that can beat the market, the case for making index funds the core of a portfolio seems compelling. FOR COSTS, IT'S BEEN DOWNHILL ALL THE WAY One thing that hasn't grown since your fund began is its cost to investors. In 1977, its first full year of operation, the fund's expense ratio was 0.46%. In 2001, expenses were 0.18% of assets for Investor Shares and only 0.12% for 6 Admiral Shares. The 500 Index Fund's shareholders have directly benefited as economies of scale drove down our operating costs. A clear lesson that emerges from indexing's first quarter-century is that successful investing requires patience and a long-term perspective. Over some periods--the past two years come instantly to mind--volatility can make it very difficult to stay with your investment program. But interim downturns simply must be expected. Our original shareholders have endured many such drops, yet their capital in the fund has grown remarkably. They've learned that the timing and size of market advances are as unpredictable as the declines, and that compounding works only when capital remains invested. And history has taught them that indexing works. 7 FUND PROFILE AS OF DECEMBER 31, 2001 FOR 500 INDEX FUND This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index. Key terms are defined on page 9. - -------------------------------------------------------------------------------- Portfolio Characteristics S&P Fund 500 - -------------------------------------------------------------------------------- Number of Stocks 506 500 Median Market Cap $61.4B $61.4B Price/Earnings Ratio 29.0x 29.0x Price/Book Ratio 3.7x 3.7x Yield 1.4% Investor Shares 1.2% Admiral Shares 1.3% Return on Equity 23.9% 23.9% Earnings Growth Rate 14.3% 14.3% Foreign Holdings 1.3% 1.3% Turnover Rate 4% -- Expense Ratio Investor Shares 0.18% -- Admiral Shares 0.12% -- Cash Investments 0.0% -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 3.8% (conglomerate) Microsoft Corp. 3.4 (software) Exxon Mobil Corp. 2.6 (oil) Citigroup, Inc. 2.5 (financial services) Wal-Mart Stores, Inc. 2.4 (retail) Pfizer, Inc. 2.4 (pharmaceuticals) Intel Corp. 2.0 (computer hardware) International Business Machines Corp. 2.0 (computer technology) American International Group, Inc. 2.0 (insurance) Johnson & Johnson 1.7 (pharmaceuticals) - -------------------------------------------------------------------------------- Top Ten 24.8% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES S&P Fund 500 - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 Beta 1.00 1.00 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- INVESTMENT FOCUS - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) S&P Fund 500 - -------------------------------------------------------------------------------- Auto & Transportation 1.8% 1.8% Consumer Discretionary 13.1 13.1 Consumer Staples 7.4 7.4 Financial Services 19.1 19.1 Health Care 14.2 14.2 Integrated Oils 5.2 5.2 Other Energy 1.6 1.6 Materials & Processing 2.9 2.9 Producer Durables 3.0 3.0 Technology 17.0 17.0 Utilities 8.5 8.5 Other 6.2 6.2 - -------------------------------------------------------------------------------- VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. 8 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the overall market (or appropriate market index). The market (or index) is assigned a beta of 1.00, so a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the overall market rose or fell by 10%. - -------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the overall market (or its benchmark index). If a fund's total returns were precisely synchronized with the overall market's return, its R-squared would be 1.00. If a fund's returns bore no relationship to the market's returns, its R-squared would be 0. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - -------------------------------------------------------------------------------- 9 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2001 FOR 500 INDEX FUND All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE DECEMBER 31, 1991-DECEMBER 31, 2001 500 INDEX FUND INV AVERAGE LARGE-CAP CORE FUND S&P 500 INDEX 199112 10000 10000 10000 199203 9743 9855 9747 199206 9925 9820 9933 199209 10231 10082 10246 199212 10742 10733 10762 199303 11207 11165 11232 199306 11255 11274 11287 199309 11540 11652 11578 199312 11805 11872 11847 199403 11351 11474 11397 199406 11396 11404 11445 199409 11950 11880 12005 199412 11944 11707 12003 199503 13104 12678 13172 199506 14346 13808 14429 199509 15486 14838 15576 199512 16416 15493 16514 199603 17293 16324 17400 199606 18063 16992 18181 199609 18615 17526 18743 199612 20172 18672 20305 199703 20702 18922 20849 199706 24307 22040 24489 199709 26125 23675 26324 199712 26867 23950 27079 199803 30605 27190 30857 199806 31611 27991 31876 199809 28466 24752 28705 199812 34555 30036 34818 199903 36277 31556 36553 199906 38818 33707 39130 199909 36391 31619 36686 199912 41836 36749 42145 200003 42774 38404 43111 200006 41659 37540 41966 200009 41270 37247 41560 200012 38047 33456 38308 200103 33521 29909 33766 200106 35471 31676 35742 200109 30250 27038 30496 200112 33473 28853 33755 AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 ------------------------ FINAL VALUE ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- 500 Index Fund Investor Shares* -12.02% 10.66% 12.84% $33,473 Average Large-Cap Core Fund** -13.76 9.09 11.18 28,853 S&P 500 Index -11.89 10.70 12.94 33,755 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- 500 Index Fund Admiral Shares -11.98% -12.33% $215,433 S&P 500 Index -11.89 -12.28 215,575 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) DECEMBER 31, 1991-DECEMBER 31, 2001 FUND INDEX 1992 7.4 7.6 1993 9.9 10.1 1994 1.2 1.3 1995 37.4 37.6 1996 22.9 23 1997 33.2 33.4 1998 28.6 28.6 1999 21.1 21 2000 -9.1 -9.1 2001 -12 -11.9 - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. +November 13, 2000. Note: See Financial Highlights tables on pages 21 and 22 for dividend and capital gains information. 10 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for your fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the example that assumes all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- Average Annual Total Returns Periods Ended December 31, 2001 One Year Five Years Ten Years --------------------------------- 500 INDEX FUND INVESTOR SHARES* Returns Before Taxes -12.02% 10.66% 12.84% Returns After Taxes on Distributions 12.45 10.02 11.95 Returns After Taxes on Distributions and Sale of Fund Shares -7.33 8.54 10.56 - -------------------------------------------------------------------------------- *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 11 FINANCIAL STATEMENTS DECEMBER 31, 2001 STATEMENT OF NET ASSETS This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. - -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.4%)(1) - -------------------------------------------------------------------------------- General Electric Co. 82,079,419 $ 3,289,743 * Microsoft Corp. 44,533,532 2,950,347 Exxon Mobil Corp. 56,563,046 2,222,928 Citigroup, Inc. 42,538,219 2,147,329 Wal-Mart Stores, Inc. 36,853,985 2,120,947 Pfizer, Inc. 51,978,014 2,071,324 Intel Corp. 55,500,158 1,745,480 International Business Machines Corp. 14,242,355 1,722,755 American International Group, Inc. 21,596,264 1,714,743 Johnson & Johnson 25,355,060 1,498,484 * AOL Time Warner Inc. 36,601,797 1,174,918 Merck & Co., Inc. 18,808,733 1,105,954 * Cisco Systems, Inc. 60,650,662 1,098,383 SBC Communications Inc. 27,796,036 1,088,771 Verizon Communications Inc. 22,441,682 1,065,082 Home Depot, Inc. 19,371,070 988,118 Tyco International Ltd. 16,495,603 971,591 The Coca-Cola Co. 20,559,417 969,377 Royal Dutch Petroleum Co. ADR 17,558,974 860,741 Procter & Gamble Co. 10,709,076 847,409 Philip Morris Cos., Inc. 17,915,869 821,443 Bank of America Corp. 13,009,429 818,944 Bristol-Myers Squibb Co. 15,998,898 815,944 ChevronTexaco Corp. 8,821,070 790,456 Eli Lilly & Co. 9,295,710 730,085 Abbott Laboratories 12,836,910 715,658 PepsiCo, Inc. 14,466,936 704,395 American Home Products Corp. 10,906,700 669,235 Fannie Mae 8,260,439 656,705 * Viacom Inc. Class B 14,517,920 640,966 * Oracle Corp. 45,988,018 635,095 Wells Fargo Co. 14,017,284 609,051 J.P. Morgan Chase & Co. 16,314,222 593,022 BellSouth Corp. 15,520,014 592,089 * Dell Computer Corp. 21,581,406 586,583 AT&T Corp. 29,248,698 530,571 Medtronic, Inc. 10,010,281 512,627 Morgan Stanley Dean Witter & Co. 9,068,604 507,298 * Amgen, Inc. 8,645,092 487,929 Pharmacia Corp. 10,661,705 454,722 Schering-Plough Corp. 12,106,182 433,522 Texas Instruments, Inc. 14,323,007 401,044 American Express Co. 11,032,053 393,734 Minnesota Mining & Manufacturing Co. 3,242,079 383,246 Bank One Corp. 9,641,640 376,506 Freddie Mac 5,747,135 375,863 Merrill Lynch & Co., Inc. 6,997,924 364,732 E.I. du Pont de Nemours & Co. 8,476,960 360,356 Wachovia Corp. 11,252,531 352,879 The Walt Disney Co. 16,856,869 349,274 * WorldCom Inc.-;WorldCom Group 24,370,914 343,142 U.S. Bancorp 16,095,490 336,879 12 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Anheuser-Busch Cos., Inc. 7,311,848 $ 330,569 * Sun Microsystems, Inc. 26,803,808 329,687 Hewlett-Packard Co. 16,041,422 329,491 * QUALCOMM Inc. 6,320,491 319,185 FleetBoston Financial Corp. 8,640,979 315,396 Target Corp. 7,464,702 306,426 * AT&T Wireless Services Inc. 20,916,866 300,575 Automatic Data Processing, Inc. 5,098,507 300,302 Lowe's Cos., Inc. 6,402,481 297,139 Fifth Third Bancorp 4,777,553 293,007 Gillette Co. 8,726,262 291,457 Walgreen Co. 8,434,566 283,908 McDonald's Corp. 10,628,828 281,345 Motorola, Inc. 18,347,502 275,579 Unilever NV ADR 4,726,005 272,265 * Applied Materials, Inc. 6,749,215 270,644 Electronic Data Systems Corp. 3,919,584 268,687 The Boeing Co. 6,923,612 268,498 Colgate-Palmolive Co. 4,561,946 263,452 Baxter International, Inc. 4,881,397 261,789 Schlumberger Ltd. 4,760,292 261,578 Kimberly-Clark Corp. 4,342,300 259,670 * Comcast Corp. Special Class A 6,999,832 251,994 Duke Energy Corp. 6,417,585 251,954 Dow Chemical Co. 7,457,416 251,912 * Clear Channel Communications, Inc. 4,941,499 251,572 United Technologies Corp. 3,874,281 250,395 Alcoa Inc. 7,022,792 249,660 The Bank of New York Co., Inc. 6,089,569 248,454 MBNA Corp. 7,042,821 247,907 First Data Corp. 3,154,514 247,472 * EMC Corp. 18,319,153 246,209 Marsh & McLennan Cos., Inc. 2,270,856 244,003 Cardinal Health, Inc. 3,728,260 241,069 Washington Mutual, Inc. 7,242,424 236,827 Ford Motor Co. 14,896,124 234,167 Honeywell International Inc. 6,720,606 227,291 General Motors Corp. 4,593,136 223,226 Household International, Inc. 3,784,783 219,290 Emerson Electric Co. 3,538,534 202,050 * Sprint PCS 8,150,115 198,944 Allstate Corp. 5,895,792 198,688 Nortel Networks Corp. 26,461,268 198,460 * Kohl's Corp. 2,769,550 195,087 Qwest Communications International Inc. 13,766,368 194,519 Phillips Petroleum Co. 3,152,616 189,977 Metropolitan Life Insurance Co. 5,993,036 189,859 El Paso Corp. 4,219,560 188,235 UnitedHealth Group Inc. 2,577,953 182,442 Lucent Technologies, Inc. 28,230,106 177,567 Charles Schwab Corp. 11,300,021 174,811 * Safeway, Inc. 4,150,040 173,264 Illinois Tool Works, Inc. 2,519,276 170,605 Lockheed Martin Corp. 3,642,260 169,984 * Costco Wholesale Corp. 3,739,269 165,949 Waste Management, Inc. 5,190,912 165,642 Computer Associates International, Inc. 4,762,429 164,256 HCA Inc. 4,258,824 164,135 International Paper Co. 3,985,203 160,803 * Cendant Corp. 8,109,615 159,030 ALLTEL Corp. 2,566,647 158,439 * Tenet Healthcare Corp. 2,691,053 158,019 General Mills, Inc. 3,012,131 156,661 * Micron Technology, Inc. 4,954,918 153,602 SunTrust Banks, Inc. 2,388,020 149,729 * Veritas Software Corp. 3,314,704 148,598 Caterpillar, Inc. 2,837,454 148,257 Sprint Corp. 7,334,729 147,281 Gannett Co., Inc. 2,189,867 147,225 National City Corp. 5,010,534 146,508 Conoco Inc. 5,171,683 146,359 Mellon Financial Corp. 3,868,355 145,528 Southern Co. 5,738,997 145,484 Sysco Corp. 5,511,063 144,500 Sara Lee Corp. 6,476,837 143,980 State Street Corp. 2,690,316 140,569 * Maxim Integrated Products, Inc. 2,670,312 140,218 * The Kroger Co. 6,642,614 138,631 Omnicom Group Inc. 1,536,589 137,294 Compaq Computer Corp. 14,001,853 136,658 * Concord EFS, Inc. 4,161,175 136,403 Carnival Corp. 4,846,563 136,091 Harley-Davidson, Inc. 2,503,035 135,940 BB&T Corp. 3,745,806 135,261 General Dynamics Corp. 1,668,311 132,864 * Analog Devices, Inc. 2,991,124 132,776 PNC Financial Services Group 2,348,953 132,011 Lehman Brothers Holdings, Inc. 1,970,445 131,626 Dominion Resources, Inc. 2,174,711 130,700 * Best Buy Co., Inc. 1,743,443 129,852 * FedEx Corp. 2,465,045 127,887 The Hartford Financial Services Group Inc. 2,027,049 127,359 Sears, Roebuck & Co. 2,667,335 127,072 Exelon Corp. 2,653,204 127,035 * Guidant Corp. 2,519,564 125,474 NIKE, Inc. Class B 2,221,038 124,911 * Immunex Corp. 4,502,981 124,778 * Forest Laboratories, Inc. 1,471,357 120,578 H.J. Heinz Co. 2,895,215 119,051 Union Pacific Corp. 2,053,944 117,075 13 - -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Southwest Airlines Co. 6,327,928 $ 116,940 Anadarko Petroleum Corp. 2,056,798 116,929 American Electric Power Co., Inc. 2,664,385 115,981 CIGNA Corp. 1,195,832 110,794 Northern Trust Corp. 1,836,424 110,589 USA Education Inc. 1,296,261 108,912 Williams Cos., Inc. 4,261,056 108,742 * Agilent Technologies, Inc. 3,808,542 108,582 Paychex, Inc. 3,094,693 107,850 * Xilinx, Inc. 2,761,712 107,845 * Siebel Systems, Inc. 3,822,742 106,960 AFLAC Inc. 4,317,500 106,038 Albertson's, Inc. 3,357,379 105,724 ConAgra Foods, Inc. 4,438,909 105,513 Raytheon Co. 3,232,057 104,945 * Genzyme Corp. 1,745,323 104,475 TXU Corp. 2,191,722 103,340 Equity Office Properties Trust REIT 3,425,565 103,041 Linear Technology Corp. 2,617,494 102,187 John Hancock Financial Services, Inc. 2,469,600 101,994 Baker Hughes, Inc. 2,777,182 101,284 Campbell Soup Co. 3,387,048 101,171 Kellogg Co. 3,360,646 101,155 * PeopleSoft, Inc. 2,503,788 100,652 XL Capital Ltd. Class A 1,096,758 100,200 The Gap, Inc. 7,130,494 99,399 The McGraw-Hill Cos., Inc. 1,598,180 97,457 The Chubb Corp. 1,403,935 96,872 Weyerhaeuser Co. 1,787,907 96,690 Capital One Financial Corp. 1,776,583 95,847 Wm. Wrigley Jr. Co. 1,862,030 95,652 CVS Corp. 3,231,151 95,642 Alcan Inc. 2,652,878 95,318 * JDS Uniphase Corp. 10,972,249 95,239 Stryker Corp. 1,625,476 94,879 Masco Corp. 3,794,327 92,961 Interpublic Group of Cos., Inc. 3,122,208 92,230 Tribune Co. 2,462,984 92,189 Northrop Grumman Corp. 912,929 92,032 May Department Stores Co. 2,473,932 91,486 Burlington Northern Santa Fe Corp. 3,197,143 91,214 Avon Products, Inc. 1,953,133 90,821 The Progressive Corp. 606,066 90,486 TJX Cos., Inc. 2,255,059 89,887 Transocean Sedco Forex Inc. 2,635,546 89,134 * Broadcom Corp. 2,168,736 88,636 McKesson Corp. 2,364,384 88,428 Air Products & Chemicals, Inc. 1,875,378 87,974 Loews Corp. 1,583,279 87,682 FirstEnergy Corp. 2,460,526 86,069 * Sanmina-SCI Corp. 4,307,092 85,711 * King Pharmaceuticals, Inc. 2,030,919 85,563 KeyCorp 3,501,268 85,221 Deere & Co. 1,942,055 84,790 Comerica, Inc. 1,472,307 84,363 * Yahoo!, Inc. 4,709,251 83,542 * MedImmune Inc. 1,769,705 82,026 FPL Group, Inc. 1,454,036 82,008 Occidental Petroleum Corp. 3,088,665 81,942 Progress Energy, Inc. 1,808,420 81,433 Allergan, Inc. 1,084,566 81,397 * Bed Bath & Beyond, Inc. 2,398,207 81,299 Marriott International, Inc. Class A 1,992,448 80,993 * Boston Scientific Corp. 3,334,914 80,438 * NVIDIA Corp. 1,195,184 79,958 Xcel Energy, Inc. 2,856,635 79,243 Aon Corp. 2,223,224 78,969 Archer-Daniels-Midland Co. 5,467,546 78,459 USX-Marathon Group 2,558,734 76,762 Golden West Financial Corp. 1,303,564 76,715 * Solectron Corp. 6,785,778 76,544 Lincoln National Corp. 1,566,728 76,096 The Clorox Co. 1,922,931 76,052 Franklin Resources Corp. 2,156,271 76,052 Hershey Foods Corp. 1,121,731 75,941 * KLA-Tencor Corp. 1,532,219 75,937 Pitney Bowes, Inc. 2,016,120 75,826 St. Paul Cos., Inc. 1,714,931 75,406 * Intuit, Inc. 1,753,718 75,024 Praxair, Inc. 1,330,260 73,497 Dynegy, Inc. 2,868,965 73,159 Unocal Corp. 2,017,830 72,783 Public Service Enterprise Group, Inc. 1,715,965 72,397 * AES Corp. 4,408,413 72,078 PPG Industries, Inc. 1,392,529 72,022 * NEXTEL Communications, Inc. 6,541,051 71,690 Entergy Corp. 1,828,207 71,501 * Staples, Inc. 3,817,416 71,386 Danaher Corp. 1,181,663 71,266 Becton, Dickinson & Co. 2,138,194 70,881 Consolidated Edison Inc. 1,755,183 70,839 Eastman Kodak Co. 2,406,017 70,809 Barrick Gold Corp. 4,433,109 70,708 * Univision Communications Inc. 1,737,632 70,305 * Biogen, Inc. 1,222,848 70,130 SouthTrust Corp. 2,833,974 69,914 Corning, Inc. 7,821,160 69,765 Coca-Cola Enterprises, Inc. 3,678,007 69,661 * Computer Sciences Corp. 1,408,567 68,992 Biomet, Inc. 2,229,825 68,902 Applied Biosystems Group-Applera Corp. 1,752,780 68,832 14 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Chiron Corp. 1,564,261 $ 68,577 H & R Block, Inc. 1,517,295 67,823 * Altera Corp. 3,185,450 67,595 Cintas Corp. 1,403,465 67,366 MBIA, Inc. 1,225,703 65,734 * Fiserv, Inc. 1,547,832 65,504 Reliant Energy, Inc. 2,465,732 65,391 * Federated Department Stores, Inc. 1,593,513 65,175 * AutoZone Inc. 891,659 64,021 * Apple Computer, Inc. 2,901,098 63,534 * Lexmark International, Inc. 1,075,008 63,425 Delphi Automotive Systems Corp. 4,633,204 63,290 Rohm & Haas Co. 1,822,487 63,113 Burlington Resources, Inc. 1,660,565 62,338 Dover Corp. 1,673,946 62,053 Xerox Corp. 5,954,609 62,047 CSX Corp. 1,762,836 61,787 * Wellpoint Health Networks Inc. Class A 527,339 61,620 * PG&E Corp. 3,202,580 61,618 Mattel, Inc. 3,569,526 61,396 Adobe Systems, Inc. 1,961,513 60,905 Newell Rubbermaid, Inc. 2,205,447 60,804 Synovus Financial Corp. 2,408,948 60,344 * Starbucks Corp. 3,153,460 60,073 * Network Appliance, Inc. 2,738,304 59,887 * Tricon Global Restaurants, Inc. 1,206,173 59,344 J.C. Penney Co., Inc. 2,181,727 58,688 Norfolk Southern Corp. 3,188,295 58,441 Johnson Controls, Inc. 721,752 58,281 Ingersoll-Rand Co. 1,389,258 58,085 Jefferson-Pilot Corp. 1,244,269 57,572 AmSouth Bancorp 3,013,740 56,960 Apache Corp. 1,133,803 56,554 DTE Energy Co. 1,345,086 56,413 Regions Financial Corp. 1,880,759 56,310 * St. Jude Medical, Inc. 719,938 55,903 Equity Residential Properties Trust REIT 1,941,035 55,727 The Pepsi Bottling Group, Inc. 2,347,681 55,171 MGIC Investment Corp. 886,454 54,712 New York Times Co. Class A 1,253,885 54,231 AmerisourceBergen Corp. 850,847 54,071 * Convergys Corp. 1,423,054 53,350 UnumProvident Corp. 2,001,753 53,066 * Mirant Corp. 3,303,603 52,924 Genuine Parts Co. 1,432,483 52,572 Georgia Pacific Group 1,900,070 52,461 The Limited, Inc. 3,544,637 52,177 Moody's Corp. 1,290,106 51,424 Kinder Morgan, Inc. 923,154 51,410 Avery Dennison Corp. 908,708 51,369 Union Planters Corp. 1,136,132 51,274 Cincinnati Financial Corp. 1,335,755 50,959 * Tellabs, Inc. 3,385,367 50,645 AMBAC Financial Group Inc. 872,747 50,497 Charter One Financial, Inc. 1,858,562 50,460 Molex, Inc. 1,614,419 49,966 Stilwell Financial, Inc. 1,830,710 49,832 * International Game Technology 718,761 49,091 * Zimmer Holdings, Inc. 1,602,687 48,946 Starwood Hotels & Resorts Worldwide, Inc. 1,635,372 48,816 Fortune Brands, Inc. 1,228,806 48,648 Textron, Inc. 1,168,199 48,434 Ameren Corp. 1,138,144 48,143 * HEALTHSOUTH Corp. 3,244,092 48,077 UST, Inc. 1,368,234 47,888 * LSI Logic Corp. 3,033,613 47,870 IMS Health, Inc. 2,444,155 47,685 Willamette Industries, Inc. 908,604 47,356 * Office Depot, Inc. 2,533,242 46,966 * Novellus Systems, Inc. 1,185,249 46,758 * Sabre Holdings Corp. 1,103,837 46,748 Halliburton Co. 3,551,378 46,523 Amerada Hess Corp. 733,509 45,844 Bear Stearns Co., Inc. 778,392 45,645 Kerr-McGee Corp. 828,519 45,403 Knight Ridder Inc. 695,173 45,138 * Teradyne, Inc. 1,491,852 44,964 * National Semiconductor Corp. 1,454,621 44,788 RadioShack Corp. 1,482,278 44,617 Circuit City Stores, Inc. 1,719,238 44,614 * Advanced Micro Devices, Inc. 2,810,191 44,570 Parker Hannifin Corp. 969,806 44,524 Cinergy Corp. 1,315,892 43,990 Family Dollar Stores, Inc. 1,425,538 42,738 Eaton Corp. 573,215 42,653 Ecolab, Inc. 1,055,274 42,475 * Calpine Corp. 2,525,052 42,396 PPL Corp. 1,211,554 42,223 Sempra Energy 1,713,404 42,064 PACCAR Inc. 634,819 41,657 Countrywide Credit Industries, Inc 1,011,105 41,425 Dollar General Corp. 2,734,151 40,739 * Edison International 2,694,201 40,682 Whirlpool Corp. 553,607 40,596 Torchmark Corp. 1,026,833 40,385 Devon Energy Corp. 1,042,554 40,295 Vulcan Materials Co. 837,898 40,169 * Nabors Industries, Inc. 1,165,287 40,004 Zions Bancorp 758,978 39,907 KeySpan Corp. 1,150,539 39,866 NiSource Inc. 1,710,342 39,440 * TMP Worldwide, Inc. 914,381 39,227 15 - -------------------------------------------------------------------------------- MARKET VALUE* 500 INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Aetna Inc. 1,185,503 39,110 * Robert Half International, Inc. 1,450,830 38,737 * CIENA Corp. 2,705,948 38,722 TRW, Inc. 1,044,753 38,698 Dow Jones & Co., Inc. 702,570 38,452 CenturyTel, Inc. 1,166,951 38,276 Tiffany & Co. 1,208,119 38,020 Allegheny Energy, Inc. 1,034,033 37,453 Leggett & Platt, Inc. 1,625,127 37,378 EOG Resources, Inc. 955,330 37,363 * Health Management Associates Class A 2,027,817 37,312 * Noble Drilling Corp. 1,094,062 37,242 W.W. Grainger, Inc. 773,912 37,148 * Jabil Circuit, Inc. 1,630,809 37,052 ITT Industries, Inc. 731,423 36,937 * Waters Corp. 945,261 36,629 * Compuware Corp. 3,075,003 36,254 Constellation Energy Group, Inc. 1,354,039 35,950 VF Corp. 918,030 35,812 Huntington Bancshares Inc. 2,077,918 35,719 PerkinElmer, Inc. 1,019,031 35,686 T. Rowe Price Group Inc. 1,018,228 35,363 Brown-Forman Corp. Class B 564,820 35,358 * Citrix Systems, Inc. 1,552,794 35,186 Sherwin-Williams Co. 1,277,727 35,137 * Thermo Electron Corp. 1,470,804 35,093 * Harrah's Entertainment, Inc. 927,989 34,345 * Comverse Technology, Inc. 1,533,966 34,315 Darden Restaurants Inc. 964,084 34,129 * QLogic Corp. 766,365 34,111 Nucor Corp. 643,221 34,065 * Toys R Us, Inc. 1,642,203 34,059 Hilton Hotels Corp. 3,054,049 33,350 * Unisys Corp. 2,639,694 33,102 * BMC Software, Inc. 2,020,421 33,074 SAFECO Corp. 1,057,177 32,931 The Stanley Works 705,783 32,868 The Goodyear Tire & Rubber Co. 1,344,719 32,018 Newmont Mining Corp. 1,621,516 30,987 Scientific-Atlanta, Inc. 1,292,676 30,947 TECO Energy, Inc. 1,154,273 30,288 * Conexant Systems, Inc. 2,107,749 30,267 * Jones Apparel Group, Inc. 906,693 30,075 * ADC Telecommunications, Inc. 6,524,711 30,014 Symbol Technologies, Inc. 1,889,929 30,012 Delta Air Lines, Inc. 1,019,484 29,830 Engelhard Corp. 1,073,697 29,720 Placer Dome, Inc. 2,716,232 29,634 Rockwell Collins, Inc. 1,518,995 29,620 * NCR Corp. 803,583 29,620 Pinnacle West Capital Corp. 699,878 29,290 * Comcast Corp. Class A 813,477 29,285 * PMC Sierra Inc. 1,365,471 29,030 Equifax, Inc. 1,198,406 28,942 * Avaya Inc. 2,373,213 28,835 Centex Corp. 502,548 28,690 * AMR Corp. 1,277,878 28,331 * Sealed Air Corp. 692,205 28,256 R.R. Donnelley & Sons Co. 947,212 28,123 * Applied Micro Circuits Corp. 2,467,784 27,935 * Watson Pharmaceuticals, Inc. 880,698 27,645 C.R. Bard, Inc. 422,715 27,265 Rockwell International Corp. 1,520,297 27,153 Cooper Industries, Inc. 775,000 27,063 CMS Energy Corp. 1,100,017 26,433 Ashland, Inc. 571,094 26,316 * Inco Ltd. 1,504,634 25,489 The Mead Corp. 821,442 25,374 Wendy's International, Inc. 865,114 25,235 Black & Decker Corp. 660,096 24,905 Eastman Chemical Co. 637,919 24,892 Fluor Corp. 662,602 24,781 * Citizens Communications Co. 2,315,847 24,687 SuperValu Inc. 1,102,612 24,390 Pall Corp. 1,010,323 24,308 Sunoco, Inc. 650,372 24,285 Westvaco Corp. 846,194 24,074 Millipore Corp. 394,982 23,975 Sigma-Aldrich Corp. 606,863 23,916 * Niagara Mohawk Holdings Inc. 1,325,813 23,507 * Pactiv Corp. 1,317,533 23,386 * American Power Conversion Corp. 1,617,082 23,383 International Flavors & Fragrances, Inc. 784,341 23,303 * Mercury Interactive Corp. 684,409 23,256 Hasbro, Inc. 1,428,072 23,178 Temple-Inland Inc. 407,853 23,138 * Allied Waste Industries, Inc. 1,628,480 22,896 Deluxe Corp. 548,977 22,826 * Kmart Corp. 4,116,255 22,475 Goodrich Corp. 843,198 22,446 Nordstrom, Inc. 1,108,792 22,431 Pulte Homes, Inc. 486,979 21,753 Liz Claiborne, Inc. 434,977 21,640 * Gateway, Inc. 2,677,801 21,530 Bemis Co., Inc. 436,899 21,487 Phelps Dodge Corp. 651,093 21,095 Alberto-Culver Co. Class B 468,235 20,949 * Manor Care, Inc. 846,381 20,068 Maytag Corp. 635,460 19,718 * Tektronix, Inc. 760,564 19,607 * Vitesse Semiconductor Corp. 1,572,253 19,543 Navistar International Corp. 491,254 19,405 * Palm, Inc. 4,690,131 18,198 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Dana Corp. 1,224,824 17,001 * Parametric Technology Corp. 2,174,075 16,980 Autodesk, Inc. 453,781 16,912 Bausch & Lomb, Inc. 443,857 16,716 KB HOME 415,065 16,644 Winn-Dixie Stores, Inc. 1,164,226 16,590 * Humana Inc. 1,396,848 16,469 Boise Cascade Corp. 480,513 16,342 Visteon Corp. 1,077,714 16,209 Snap-On Inc. 478,440 16,104 Ball Corp. 226,779 16,033 Adolph Coors Co. Class B 299,119 15,973 * Quintiles Transnational Corp. 990,415 15,896 Brunswick Corp. 725,175 15,780 NICOR, Inc. 370,777 15,439 * Rowan Cos., Inc. 776,310 15,037 * Andrew Corp. 673,876 14,751 Meredith Corp. 408,317 14,557 * Novell, Inc. 2,981,701 13,686 * Freeport-McMoRan Copper & Gold, Inc. Class B 1,014,499 13,584 USX-U.S. Steel Group 735,955 13,328 Cummins Inc. 341,531 13,163 * Reebok International Ltd. 485,307 12,861 * Conseco Inc. 2,841,481 12,673 Crane Co. 493,851 12,662 Allegheny Technologies Inc. 665,001 11,139 Peoples Energy Corp. 293,020 11,114 Dillard's Inc. 693,228 11,092 Ryder System, Inc. 500,292 11,081 Thomas & Betts Corp. 481,607 10,186 Great Lakes Chemical Corp. 415,657 10,092 Worthington Industries, Inc. 707,229 10,043 Big Lots Inc. 938,734 9,763 Cooper Tire & Rubber Co. 600,693 9,587 Tupperware Corp. 478,755 9,216 * Hercules, Inc. 894,097 8,941 Providian Financial Corp. 2,348,324 8,337 * Sapient Corp. 1,044,471 8,063 Louisiana-Pacific Corp. 865,817 7,308 American Greetings Corp. Class A 527,328 7,267 * Power-One, Inc. 648,771 6,754 * Viacom Inc. Class A 143,386 6,345 * McDermott International, Inc. 502,946 6,171 * US Airways Group, Inc. 555,623 3,523 * Freeport-McMoRan Copper & Gold, Inc. Class A 176,683 2,279 National Service Industries, Inc. 93,796 189 Molex, Inc. Class A 4,051 110 Alberto-Culver Co. Class A 1,000 39 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $65,778,346) 86,517,229 - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.8%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (2) 2.30%, 1/9/2002 $ 27,000 26,991 FEDERAL HOME LOAN MORTGAGE CORP. (2) 2.21%, 1/17/2002 9,200 9,193 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F 173,789 173,789 1.75%, 1/2/2002 446,105 446,105 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $656,071) 656,078 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.2%) (Cost $66,434,417) 87,173,307 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.2%) - -------------------------------------------------------------------------------- Other Assets--Note B 993,582 Liabilities--Note F (1,153,035) ----------- (159,453) ----------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $87,013,854 ================================================================================ *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets. See Note E in Notes to Financial Statements. (2)Securities with an aggregate value of $36,184,000 have been segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. 17 - -------------------------------------------------------------------------------- AMOUNT 500 INDEX FUND (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note D $67,532,601 Overdistributed Net Investment Income (65,280) Accumulated Net Realized Losses--Note D (1,195,448) Unrealized Appreciation--Note E Investment Securities 20,738,890 Futures Contracts 3,091 - -------------------------------------------------------------------------------- NET ASSETS $87,013,854 ================================================================================ Investor Shares--Net Assets Applicable to 690,838,747 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $73,150,774 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $105.89 ================================================================================ Admiral Shares--Net Assets Applicable to 130,922,140 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $13,863,080 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $105.89 ================================================================================ 18 STATEMENT OF OPERATIONS This Statement shows the types of income earned by the fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. - -------------------------------------------------------------------------------- 500 INDEX FUND YEAR ENDED DECEMBER 31, 2001 (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends 1,162,366 Interest 13,921 Security Lending 419 - -------------------------------------------------------------------------------- Total Income 1,176,706 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 181 Management and Administrative Investor Shares 124,332 Admiral Shares 13,228 Marketing and Distribution Investor Shares 12,311 Admiral Shares 960 Custodian Fees 460 Auditing Fees 12 Shareholders' Reports Investor Shares 1,667 Admiral Shares -- Trustees' Fees and Expenses 136 - -------------------------------------------------------------------------------- Total Expenses 153,287 Expenses Paid Indirectly--Note C (10) - -------------------------------------------------------------------------------- Net Expenses 153,277 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,023,429 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (117,611) Futures Contracts (43,936) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (161,547) - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (12,609,761) Futures Contracts 3,704 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (12,606,057) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(11,744,175) ================================================================================ 19 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how the fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. - -------------------------------------------------------------------------------- 500 Index Fund Year Ended December 31, ---------------------------- 2001 2000 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 1,023,429 $ 1,009,039 Realized Net Gain (Loss) (161,547) 1,206,729 Change in Unrealized Appreciation (Depreciation) (12,606,057) (11,797,171) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (11,744,175) (9,581,403) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (880,294) (996,555) Admiral Shares (156,169) (24,781) Realized Capital Gain Investor Shares -- -- Admiral Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (1,036,463) (1,021,336) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--Note G Investor Shares (3,502,888) (6,012,890) Admiral Shares 6,819,849 8,440,834 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 3,316,961 2,427,944 - -------------------------------------------------------------------------------- Total Increase (Decrease) (9,463,677) (8,174,795) - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 96,477,531 104,652,326 - -------------------------------------------------------------------------------- End of Period $ 87,013,854 $ 96,477,531 ================================================================================ 20 FINANCIAL HIGHLIGHTS This table summarizes the fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year. - -------------------------------------------------------------------------------- 500 INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 1998 1997 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $121.86 $135.33 $113.95 $ 90.07 $69.17 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.260 1.29 1.370 1.33 1.31 Net Realized and Unrealized Gain (Loss) on Investments (15.955) (13.46) 22.415 24.30 21.50 - -------------------------------------------------------------------------------- Total from Investment Operations (14.695) (12.17) 23.785 25.63 22.81 - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.275) (1.30) (1.410) (1.33) (1.32) Distributions from Realized Capital Gains -- -- (.995) (.42) (.59) - -------------------------------------------------------------------------------- Total Distributions (1.275) (1.30) (2.405) (1.75) (1.91) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $105.89 $121.86 $135.33 $113.95 $90.07 ================================================================================ TOTAL RETURN* -12.02% -9.06% 21.07% 28.62% 33.19% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $73,151 $88,240 $104,652 $74,229 $49,358 Ratio of Total Expenses to Average Net Assets 0.18% 0.18% 0.18% 0.18% 0.19% Ratio of Net Investment Income to Average Net Assets 1.14% 0.98% 1.13% 1.35% 1.66% Portfolio Turnover Rate** 4% 9% 6% 6% 5% ================================================================================ *Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Portfolio turnover rates excluding in-kind redemptions were 3%, 7%, 3%, 3%, and 3%, respectively. 21 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- 500 INDEX FUND ADMIRAL SHARES YEAR ENDED NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $121.87 $124.88 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income 1.313 .179 Net Realized and Unrealized Gain (Loss) on Investments (15.955) (2.808) - -------------------------------------------------------------------------------- Total from Investment Operations (14.642) (2.629) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (1.338) (.381) Distributions from Realized Capital Gains -- -- - -------------------------------------------------------------------------------- Total Distributions (1.338) (.381) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $105.89 $121.87 ================================================================================ TOTAL RETURN -11.98% -2.10% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) 13,863 $8,237 Ratio of Total Expenses to Average Net Assets 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.22% 1.03%+ Portfolio Turnover Rate** 4% 9% ================================================================================ *Inception. **Portfolio turnover rates excluding in-kind redemptions were 3% and 7%, respectively. +Annualized. 22 NOTES TO FINANCIAL STATEMENTS Vanguard 500 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares, Investor Shares and Admiral Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares were first issued on November 13, 2000, and are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The fund consistently follows such policies in preparing its financial statements. 1. SECURITY VALUATION: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. FEDERAL INCOME TAXES: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: The fund, along with other members of The Vanguard Group, transfers uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FUTURES CONTRACTS: The fund uses S&P 500 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. 23 NOTES TO FINANCIAL STATEMENTS (CONTINUED) Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to the fund under methods approved by the board of trustees. The fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2001, the fund had contributed capital of $16,032,000 to Vanguard (included in Other Assets), representing 0.02% of the fund's net assets and 16.03% of Vanguard's capitalization. The fund's trustees and officers are also directors and officers of Vanguard. C. The fund's custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in its non-interest-bearing custody account. For the year ended December 31, 2001, custodian fee offset arrangements reduced expenses by $10,000. D. During the year ended December 31, 2001, the fund purchased $6,476,624,000 of investment securities and sold $3,630,751,000 of investment securities other than temporary cash investments. During the year ended December 31, 2001, the fund realized $684,916,000 of net capital gains resulting from in-kind redemptions--in which shareholders exchange fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. At December 31, 2001, the fund had available realized losses of $1,188,745,000 to offset future net capital gains of $193,358,000 through December 31, 2008, $890,248,000 through December 31, 2009, and $105,139,000 through December 31, 2010. E. At December 31, 2001, net unrealized appreciation of investment securities for financial reporting and federal income tax purposes was $20,738,890,000, consisting of unrealized gains of $29,403,082,000 on securities that had risen in value since their purchase and $8,664,192,000 in unrealized losses on securities that had fallen in value since their purchase. At December 31, 2001, the aggregate settlement value of open futures contracts expiring in March 2002 and the related unrealized appreciation were: - -------------------------------------------------------------------------------- (000) ---------------------------------- Aggregate Unrealized Number of Settlement Appreciation Futures Contracts Long Contracts Value (Depreciation) - -------------------------------------------------------------------------------- S&P 500 Index 1,614 $463,702 $3,091 - -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for federal income tax purposes. F. The market value of securities on loan to broker/dealers at December 31, 2001, was $169,318,000 for which the fund held cash collateral of $173,789,000. The fund invests cash collateral received in repurchase agreements, and records a liability for the return of the collateral, during the period the securities are on loan. 24 G. Capital share transactions for each class of shares were: - -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, 2001 2000 ------------------ ----------------- AMOUNT SHARES AMOUNT SHARES (000) (000) (000) (000) - -------------------------------------------------------------------------------- Investor Shares Issued $15,386,452 136,694 $21,080,340 160,587 Issued in Lieu of Cash Distributions 820,769 7,971 913,406 6,963 Redeemed (19,710,109) (177,918)(28,006,636) (216,760) ------------------------------------------------ Net Increase (Decrease)-- Investor Shares (3,502,888) (33,253) (6,012,890) (49,210) ------------------------------------------------ Admiral Shares Issued 8,213,256 76,409 8,492,434 68,010 Issued in Lieu of Cash Distributions 132,911 1,294 21,150 175 Redeemed (1,526,318) (14,373) (72,750) (593) ------------------------------------------------ Net Increase (Decrease)-- Admiral Shares 6,819,849 63,330 8,440,834 67,592 - -------------------------------------------------------------------------------- 25 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the accompanying statement of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard 500 Index Fund (a separate fund of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Fund") at December 31, 2001, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2001 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP PHILADELPHIA, PENNSYLVANIA JANUARY 31, 2002 - -------------------------------------------------------------------------------- SPECIAL 2001 TAX INFORMATION (UNAUDITED) FOR VANGUARD 500 INDEX FUND This information for the fiscal year ended December 31, 2001, is included pursuant to provisions of the Internal Revenue Code. For corporate shareholders, 100% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction. - -------------------------------------------------------------------------------- 26 ADVANTAGES OF VANGUARD.COM(TM) Why wait for the mail? You can get fund reports like this one sooner--and reduce the amount of mail you receive from us. Simply choose to view your fund reports online. Consider the benefits of using VANGUARD.COM. On our website, you can: * Choose to receive all fund reports, as well as prospectuses, online. * Request a courtesy e-mail to notify you when a new fund report or prospectus is available. When you receive fund reports and prospectuses online, you lower Vanguard's printing and postage costs--and that helps to reduce the expense ratios of your funds. You will continue to receive confirmations of purchases, redemptions, and other account activity by mail. HOW TO NOTIFY US ABOUT YOUR MAILING PREFERENCES You can easily tell us to stop mailing your fund reports and prospectuses. Just log on to Vanguard.com (or follow the easy steps to register for secure, online access to your accounts) and update your Web profile. Registered users can also view their account values; download records of recent transactions; research and track the performance of individual securities and funds; buy, exchange, and sell fund shares; and much more. If you invest directly with us, you can also elect to receive all of your account statements online or to continue the mailing of only your year-end statements, which detail every transaction you make during the year. However, if you invest with us through an employer-sponsored retirement plan or a financial intermediary, some of these options may not be available to you. All Vanguard shareholders can choose to receive our electronic newsletters: ECONOMIC WEEK IN REVIEW, a recap of each week's key economic reports and market activity; and WHAT'S NEW AT VANGUARD, a monthly update on our mutual funds, services, and online resources. YOUR ONLINE INFORMATION IS SECURE Vanguard.com uses some of the most secure forms of online communication available, including data encryption and Secure Sockets Layer (SSL) protocol. These technologies provide a high level of security and privacy when you access your account information, initiate online transactions, or send us messages. 27 THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
- --------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - --------------------------------------------------------------------------------------------------------------------------- JOHN J. BRENNAN* Chairman of the Board, Chairman of the Board, Chief Executive Officer, and Director/Trustee (July 29, 1954) Chief Executive Officer, of The Vanguard Group, Inc., and of each of the investment May 1987 and Trustee served by The Vanguard Group. (106) - --------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Adviser (October 23, 1937) (106) to Greenwich Associates (international business-strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - --------------------------------------------------------------------------------------------------------------------------- RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (December 23, 1945) (84) Chairman (January-;September 1999), and Vice President (prior to December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - --------------------------------------------------------------------------------------------------------------------------- JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and Member of the (January 25, 1950) (106) Executive Committee of Johnson & Johnson (pharmaceuticals/consumer July 1998 products); Director of the Medical Center at Princeton and Women's Research and Education Institute. - --------------------------------------------------------------------------------------------------------------------------- BRUCE K. MACLAURY Trustee President Emeritus of The Brookings Institution (an independent, (May 7, 1931) (86) nonpartisan research organization); Director of the American Express January 1990 Bank, Ltd., The St. Paul Companies, Inc. (insurance and financial services), and the National Steel Corp. - --------------------------------------------------------------------------------------------------------------------------- BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton (August 28, 1932) (104) University; Director of Prudential Insurance Co. of America, BKF May 1977 Capital (investment management), The Jeffrey Co. (a holding company), and NeuVis, Inc. (a software company). - --------------------------------------------------------------------------------------------------------------------------- ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (October 8, 1941) (106) Industries, Inc. (forklift trucks/housewares/lignite); Director of January 1993 Goodrich Corporation (industrial products/aircraft systems and services); Director of the Standard Products Company (a supplier for the automotive industry) until 1998. - --------------------------------------------------------------------------------------------------------------------------- JAMES O. WELCH, JR. Trustee Retired Chairman of Nabisco Brands, Inc.; retired Vice Chairman (May 13, 1931) (106) and Director of RJR Nabisco; Director of TECO Energy, Inc. September 1971 - --------------------------------------------------------------------------------------------------------------------------- J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (March 2, 1936) (106) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - ---------------------------------------------------------------------------------------------------------------------------
activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
- --------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - --------------------------------------------------------------------------------------------------------------------------- EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc. (April 25, 1951) (106) (since September 1997); Secretary of The Vanguard Group, and of June 2001 each of the investment companies served by The Vanguard Group; Principal of The Vanguard Group (prior to September 1997). - --------------------------------------------------------------------------------------------------------------------------- THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the (May 21, 1957) (106) investment companies served by The Vanguard Group. July 1998 - --------------------------------------------------------------------------------------------------------------------------- *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the STATEMENT OF ADDITIONAL INFORMATION, available from The Vanguard Group. VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. F. WILLIAM MCNABB, III, Institutional Investor Group. JAMES H. GATELY, Direct Investor Services. MICHAEL S. MILLER, Planning and Development. KATHLEEN C. GUBANICH, Human Resources. RALPH K. PACKARD, Chief Financial Officer. IAN A. MACKINNON, Fixed Income Group. GEORGE U. SAUTER, Quantitative Equity Group. - --------------------------------------------------------------------------------------------------------------------------- JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-;1996. - --------------------------------------------------------------------------------------------------------------------------- VANGUARD, THE VANGUARD GROUP, VANGUARD.COM, ADMIRAL, and the ship logo are trademarks of The Vanguard Group, Inc. STANDARD & Poor's(R), S&P(R), S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. All other marks are the property of their respective owners.
POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 ABOUT OUR COVER Our cover photograph was taken by Michael Kahn in September 2000 aboard HMS Rose in New York's Long Island Sound. Mr. Kahn is a renowned photographer--and accomplished sailor--whose work often focuses on seascapes and nautical images. The photograph is copyrighted by Mr. Kahn. FOR MORE INFORMATION This report is intended for the fund's shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through VANGUARD.COM(TM). Prospectuses may also be viewed online. FUND INFORMATION 1-800-662-7447 TEXT TELEPHONE 1-800-952-3335 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 WORLD WIDE WEB www.vanguard.com All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q400 022002 VANGUARD(R) U.S. STOCK INDEX FUNDS SMALL-CAPITALIZATION PORTFOLIOS ANNUAL REPORT * DECEMBER 31, 2001 STOCK VANGUARD SMALL-CAP INDEX FUND VANGUARD SMALL-CAP GROWTH INDEX FUND VANGUARD SMALL-CAP VALUE INDEX FUND [SHIP ON OCEAN] [THE VANGUARD GROUP(R) LOGO] PERSPECTIVE Maintaining a long-term investment perspective isn't easy. Perhaps that's why it has proven to be so rewarding. With news, information, and opinion constantly bombarding us, the temptation to buy or sell--to do something--is powerful. Yet such activity is often counterproductive. Emotions can lead us to big mistakes, like jumping into a hot investment we know little about or selling a sound long-term holding when it sags for a while. The actions we recommend are quite simple. First, take the time to decide on a mix of stocks, bonds, and cash investments that makes sense for you. Take into account your investment time horizon, your goals, and your ability and willingness to ride out market fluctuations. Write this mix down--it's your investment plan. Second, use low-cost, widely diversified mutual funds to carry out your asset allocation. Third, stick with your plan, unless there's a major change in your time horizon, goals, or financial situation. Don't "play the market"--and if you feel you must, don't risk more than a tiny percentage of your assets. Finally, if market news, the opinions of "experts," or the hope of a big score tempts you to act, consult your plan. It may help you keep a long-term perspective. - -------------------------------------------------------------------------------- CONTENTS LETTER FROM THE CHAIRMAN 1 FUND PROFILES 7 GLOSSARY OF INVESTMENT TERMS 10 PERFORMANCE SUMMARIES 11 YOUR FUND'S AFTER-TAX RETURNS 14 FINANCIAL STATEMENTS 15 ADVANTAGES OF VANGUARD.COM 58 - -------------------------------------------------------------------------------- SUMMARY * The 12-month returns for the Vanguard small-capitalization stock index portfolios ranged from -0.8% for Vanguard Small-Cap Growth Index Fund to 13.7% for Vanguard Small-Cap Value Index Fund. * While the broad U.S. stock market fell -11.0%, small-cap value stocks flourished. * All three funds slightly outpaced their target indexes, although two lagged their average peers. LETTER FROM THE CHAIRMAN [PHOTO] [JOHN J. BRENNAN] Dear Shareholder, Small-capitalization stocks generally held up well amid a decline in the broad stock market during 2001. Indeed, small-cap value stocks flourished in a very difficult year. The returns of our Vanguard small-cap stock index portfolios ranged from a modest decline of -0.8% for vanguard(R) small-cap growth index fund to a stellar 13.7% gain for vanguard(R) small-cap value index fund. As they are designed to do, all three funds closely tracked their target indexes; in fact, each fund outperformed its benchmark. However, returns for two of the funds lagged the average returns for their actively managed mutual fund peers. ============================================================== 2001 TOTAL RETURNS YEAR ENDED December 31 - -------------------------------------------------------------- Vanguard Small-Cap Index Fund Investor Shares 3.1% Admiral Shares 3.2 Institutional Shares 3.3 Average Small-Cap Core Fund* 7.7 Russell 2000 Index 2.5 - -------------------------------------------------------------- Vanguard Small-Cap Growth Index Fund Investor Shares -0.8% Institutional Shares -0.6 Average Small-Cap Growth Fund* -10.8 S&P SmallCap 600/Barra Growth Index -1.2 - -------------------------------------------------------------- Vanguard Small-Cap Value Index Fund Investor Shares 13.7% Institutional Shares 13.9 Average Small-Cap Value Fund* 16.4 S&P SmallCap 600/Barra Value Index 13.1 - -------------------------------------------------------------- *Derived from data provided by Lipper Inc. The adjacent table compares the total return (capital change plus reinvested dividends) for each fund with those of its average peer and its target index. Where applicable, the returns for our funds' Admiral(TM) and Institutional Shares are also shown. Each fund's total return is based on the change in its net asset value during the year and reflects income dividends and any capital gains distributions. (See the table on page 6 for details.) If you own one of our funds in a taxable account, you may wish to review our report on the funds' after-tax returns on page 14. FINANCIAL MARKETS IN REVIEW Stock investors were sorely tested in 2001. The longest economic expansion in U.S. history ended in March and a recession began. Corporate profits and stock prices were already down sharply before September 11. The terrorist attacks led to a four-day hiatus from stock trading, and stocks lost more ground when trading resumed. However, a rally took hold in the remainder of the year, reducing the market's losses. For the full 12 months, though, the broad U.S. stock market lost more than 10% of its value, producing its first 1 back-to-back yearly losses since 1973-1974. - -------------------------------------------------------------------------------- MARKET BAROMETER Average Annual Total Returns Periods Ended December 31, 2001 ---------------------------------- One Three Five Year Years Years - ------------------------------------------------------------------------------ STOCKS S&P 500 Index (Large-caps) -11.9% -1.0% 10.7% Russell 2000 Index (Small-caps) 2.5 6.4 7.5 Wilshire 5000 Index (Entire market) -11.0 -0.7 9.7 MSCI EAFE Index (International) -22.0 -5.3 0.7 - ---------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index (Entire market) 8.4% 6.3% 7.4% Lehman 10 Year Municipal Bond Index 4.6 4.6 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 4.1 4.9 5.0 - ---------------------------------------------------------------------------- CPI Consumer Price Index 1.6% 2.5% 2.2% - ------------------------------------------------------------------------------ During the first nine months of the year, value-oriented shares outperformed growth stocks--by declining more modestly. But the fourth quarter's upturn brought a reversal: Growth stocks delivered the strongest gains. Small-capitalization stocks bested large ones throughout the year. On balance, stocks, as measured by the Wilshire 5000 Total Market Index, declined -11.0%. The dismal environment for stocks proved to be a tonic for bonds. In an aggressive attempt to jump-start the flagging U.S. economy, the Federal Reserve Board slashed interest rates 11 times. As shown in the chart below, the Fed pushed its target for short-term interest rates from 6.50% to 1.75%--the lowest level in four decades. Lower interest rates translated into meaningful price gains for most high-quality bonds. For the year, the Lehman Brothers Aggregate Bond Index, a measure of the entire market for investment-grade U.S. bonds, returned 8.4%. Of course, lower rates can be tough on investors who depend on fixed income securities for current income. By the end of the year, the yield of the 3-month U.S. Treasury bill had plunged to 1.72%, down from 5.90% at - -------------------------------------------------------------------------------- A RECORD NUMBER OF INTEREST RATE CUTS (12 MONTHS ENDED DECEMBER 31, 2001) In 2001, the Federal Reserve Board lowered its target for short-term interest rates a record 11 times. By repeatedly reducing the federal funds rate--the interest rate that banks charge each other for overnight loans made through the Federal Reserve System-- the Fed hoped to encourage banks to make loans more widely available, spurring investment and economic growth. [Chart] - -------------------------------------------------------------------------------- Source: Federal Reserve Board. 2 the beginning of the year and roughly even with the rate of inflation. As a result, most short-term investment vehicles were providing minuscule "real," or inflation-adjusted, returns. The yields of the 10-year Treasury note and the 30-year Treasury bond finished 2001 little changed, at 5.05% and 5.47%, respectively. International stock markets generally followed the U.S. market's descent. Signs of economic weakness had already emerged across Europe and in the Pacific region when the U.S. economy decelerated in early 2001. A slowdown in demand from the United States--the world's largest consumer of imported goods--trimmed corporate earnings worldwide. And skepticism about the future of many technology and telecommunications companies only made matters worse. The strength of the U.S. dollar versus the Japanese yen, the euro, and a number of other currencies further exacerbated poor returns for U.S. investors in many markets. The Morgan Stanley Capital International Europe, Australasia, Far East (EAFE) Index returned -22.0% in dollars for the 12 months. FISCAL 2001 PERFORMANCE OVERVIEW VANGUARD(R) SMALL-CAP INDEX FUND'S 3.1% return lagged that of its average actively managed competitor by more than 4 percentage points. The fund's target Russell 2000 Index had a larger weighting on average in the technology and health care sectors--both of which performed poorly in 2001--than did many of the fund's peers. Among small-cap stocks, only energy-related issues fared worse than tech and health care stocks in 2001. - -------------------------------------------------------------------------------- Among small-cap stocks, technology and health care were among the worst-performing sectors. - -------------------------------------------------------------------------------- VANGUARD SMALL-CAP GROWTH INDEX FUND suffered a slight decline, but was a full 10 percentage points ahead of the -10.8% return for the average small-cap growth fund. Unlike the Russell indexes, the Standard and Poor's indexes exclude companies with fewer than three years of operating history. This helped in 2001, because some of the newer, more speculative stocks that plummeted during the year had not become part of our fund's target benchmark, the S&P SmallCap 600/ Barra Growth Index. VANGUARD SMALL-CAP VALUE INDEX FUND outpaced its target benchmark, the S&P SmallCap 600/Barra Value Index, but it fell short of the average return for small-cap value funds--the best-performing market segment in 2001. Nevertheless, in a year when most segments of the stock market recorded sizable losses, our fund's 13.7% return was very much welcome. LONG-TERM PERFORMANCE OVERVIEW The table on page 4 presents the average annual returns for the past decade for our Small-Cap Index Fund and for the lifetimes of our Small-Cap Growth 3 and Small-Cap Value Index Funds, which began May 21, 1998. The table also shows the average annual returns for our comparative measures and how hypothetical $10,000 investments in each would have grown through December 31, 2001. THE SMALL-CAP INDEX FUND earned an average annual return of 12.3% over the past decade. Although this exceeded the long-term average return of about 11% for stocks, it lagged the result for the average small-cap core mutual fund. We don't believe this indicates that indexing "failed." We think the primary explanation for our shortfall is that many actively managed small-cap funds invest in or hold on to some mid- and large-cap stocks. And larger stocks outpaced small stocks for much of the past decade. Because the Russell indexes are based strictly on market capitalization, some of the decade's more successful small stocks got too big to remain in the index. Under our mandate to track the index, we must sell such holdings. In periods when the small-cap market outshines larger-cap stocks, staying true to our fund's small-cap character should be an advantage. - ------------------------------------------------------------------ TOTAL RETURNS Periods Ended December 31, 2001* ----------------------- Average Final Value of Annual a $10,000 Return Initial Investment - ------------------------------------------------------------------ SMALL-CAP INDEX FUND INVESTOR SHARES 12.3% $31,827 Average Small-Cap Core Fund 13.8 36,477 Russell 2000 Index 11.5 29,722 - ------------------------------------------------------------------ SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES 3.9% $11,500 Average Small-Cap Growth Fund 8.1 13,246 S&P SmallCap 600/ Barra Growth Index 3.4 11,293 - ------------------------------------------------------------------ SMALL-CAP VALUE INDEX FUND INVESTOR SHARES 6.5% $12,535 Average Small-Cap Value Fund 6.1 12,377 S&P SmallCap 600/ Barra Value Index 5.7 12,215 - ------------------------------------------------------------------ *Ten years for the Small-Cap Index Fund. For the Small-Cap Growth and Small-Cap Value Funds, the returns are annualized since May 21, 1998, the funds' inception date. - -------------------------------------------------------------------------------- THE SMALL-CAP VALUE INDEX FUND has outpaced its average competitor during its lifetime of a little more than 31/2 years, despite trailing its peer group early on. However, its sister, the SMALL-CAP GROWTH INDEX FUND, has lagged its peer-group average over this period. The construction of Small-Cap Growth's target index helps to explain the fund's relative results. Many small-cap growth funds were able to generate substantial gains during the speculative boom in newly issued technology-related stocks in the late 1990s. As we noted earlier, the S&P indexes do not add newly created companies that lack operating histories. The Small-Cap Growth Index Fund thus badly lagged its peer group during the "dot-com" boom of 1999. Of course, the fund was also spared much of the damage from the collapse of some of those stocks over the past two years. 4 The inherent advantages of indexing--low operating and transaction costs, broad diversification, and a commitment to remaining fully invested in the target market segment--have proven themselves over the long haul. In some years, a majority of actively managed funds will outpace the indexes. But over long periods, it is very difficult for most actively managed funds to overcome their inherent cost handicaps. For the individual investor, figuring out--in advance--which of the many actively managed contenders will be future "winners" is, more often than not, an unrewarding task. Our index funds have historically provided an element of predictability in an uncertain world--they have closely tracked their index benchmarks year by year. Indeed, as the table on page 4 shows, each fund has been able to slightly outpace its target index, despite bearing operating costs that the theoretical indexes do not incur. Some slight deviation from the benchmarks is expected as the funds react to changes in their target indexes. We recognize the superb efficiency with which Vanguard's Quantitative Equity Group manages all of our indexed stock portfolios. Indeed, efficiency in the index fund's management and operations is central to Vanguard's cost advantage. Our economical cost structure furthermore makes us confident that our funds' long-term performance will be solid. Our small-cap index funds had expense ratios (costs as a percentage of average net asset value) in 2001 ranging from 0.10% for our Institutional Shares to 0.27% for Investor Shares. By comparison, the average expense ratio charged for peer funds in 2001 ranged from 1.43% to 1.60%. Peer funds thus have to generate a gross return that is more than a percentage point higher than ours--year in, year out--to achieve the same net return. - -------------------------------------------------------------------------------- During 2001, Vanguard celebrated 25 years of offering index mutual funds. Though scorned at first, indexing has since won over millions of investors. - -------------------------------------------------------------------------------- During 2001, Vanguard marked the 25th anniversary of the industry's first index mutual fund, Vanguard(R) 500 Index Fund. When we introduced that fund in 1976, critics dismissed it as a sure path to "mediocrity." But indexing's long-term track record has forced some of the critics to offer index funds of their own. And millions of investors have come to embrace indexing as a sensible, long-term approach to participating in the financial markets. IN SUMMARY Attentive investors can learn important lessons from the financial markets in just about any year. During 2001, the markets reinforced the inherent unpredictability of events--both financial and nonfinancial. Because history has shown that it is counterproductive to invest by trying to predict the short-term direction of markets, we have long advocated a simple, long-term 5 approach to dealing with uncertainty and unpredictability. We recommend that you maintain a balanced portfolio diversified across market segments and asset classes--stocks, bonds, and short-term investments--in relatively fixed proportions that are appropriate for your goals, time horizon, and risk tolerance. Small-capitalization stocks are a sensible component of such a portfolio. Once you have established your plan, ignore the "noise" and stay the course toward your long-term objectives. We thank you for entrusting your hard-earned dollars to us. Sincerely, /S/ JOHN J. BRENNAN JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER January 14, 2002 2001 Total Returns Year Ended December 31
=============================================================================================== YOUR FUND'S PERFORMANCE AT A GLANCE Distributions Share Price Per Share ----------------------- -------------------- Starting: Ending: Capital Income Dec. 31, 2000 Dec. 31, 2001 Gains Dividends - ----------------------------------------------------------------------------------------------- Vanguard Small-Cap Index Fund Investor Shares $19.44 $19.82 $0.000 $0.225 Admiral Shares 19.44 19.82 0.000 0.239 Institutional Shares 19.44 19.82 0.000 0.259 - ----------------------------------------------------------------------------------------------- Vanguard Small-Cap Growth Index Fund Investor Shares 10.97 10.87 0.000 0.015 Institutional Shares 10.97 10.87 0.000 0.030 - ----------------------------------------------------------------------------------------------- Vanguard Small-Cap Value Index Fund Investor Shares 9.65 10.29 0.545 0.065 Institutional Shares 9.65 10.29 0.545 0.080 - -----------------------------------------------------------------------------------------------
6 FUND PROFILE AS OF DECEMBER 31, 2001 FOR SMALL-CAP INDEX FUND This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index and a broad market index. Key terms are defined on page 10. =============================================================== Portfolio Characteristics Target Wilshire Fund Index* 5000 - --------------------------------------------------------------- Number of Stocks 1,953 1,931 6,054 Median Market Cap $0.8B $0.8B $33.4B Price/Earnings Ratio 37.3x 37.9x 30.7x Price/Book Ratio 2.1x 2.1x 3.3x Yield 1.3% 1.3% Investor Shares 1.1% Admiral Shares 1.1% Institutional Shares 1.2% Return on Equity 14.2% 14.2% 22.6% Earnings Growth Rate 11.9% 11.9% 14.5% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 39% -- -- Expense Ratio Investor Shares 0.27% -- -- Admiral Shares 0.20% -- -- Institutional Shares 0.10% -- -- Cash Investments 0.1% -- -- =============================================================== ========================================================== TEN LARGEST HOLDINGS (% of total net assets) Dean Foods Company 0.4% (foods) Michaels Stores, Inc. 0.3 (retail) Ball Corp. 0.2 (diversified manufacturing) Alliant Techsystems, Inc. 0.2 (aerospace & defense) New York Community Bancorp, Inc. 0.2 (banking) Andrew Corp. 0.2 (telecommunications) Harman International Industries, Inc. 0.2 (consumer electronics) KB HOME 0.2 (real estate) IKON Office Solutions, Inc. 0.2 (commercial services) J.D. Edwards & Co. 0.2 (computer software) - ----------------------------------------------------- Top Ten 2.3% ===================================================== ============================================================= VOLATILITY MEASURES Target Wilshire Fund Index* Fund 5000 - ------------------------------------------------------------- R-Squared 1.00 1.00 0.56 1.00 Beta 1.00 1.00 1.00 1.00 ============================================================= ================================================ INVESTMENT FOCUS MARKET CAP - SMALL STYLE - BLEND ================================================ ================================================================================ Sector Diversification (% of common stocks) Target Wilshire Fund Index* 5000 - -------------------------------------------------------------------------------- Auto & Transportation 3.6% 3.5% 2.0% Consumer Discretionary 18.2 18.3 14.8 Consumer Staples 3.1 3.1 6.4 Financial Services 21.1 21.0 20.3 Health Care 12.9 12.9 14.2 Integrated Oils 0.0 0.1 3.5 Other Energy 2.9 2.9 2.1 Materials & Processing 8.5 8.9 3.3 Producer Durables 9.3 9.2 3.4 Technology 14.6 14.5 16.6 Utilities 4.9 5.0 8.1 Other 0.9 0.6 5.3 - -------------------------------------------------------------------------------- *Russell 2000 Index. [Picture of Computer]Visit our website www.vanguard.com for regularly updated fund information. 7 FUND PROFILE AS OF DECEMBER 31, 2001 for Small-Cap Growth Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index and a broad market index. Key terms are defined on page 10. ================================================================ PORTFOLIO CHARACTERISTICS Target Wilshire Fund Index* 5000 - ---------------------------------------------------------------- Number of Stocks 221 220 6,054 Median Market Cap $1.0B $1.0B $33.4B Price/Earnings Ratio 29.0x 29.0x 30.7x Price/Book Ratio 4.3x 4.3x 3.3x Yield 0.5% 1.3% Investor Shares 0.1% Institutional Shares 0.3% Return on Equity 18.8% 18.8% 22.6% Earnings Growth Rate 24.8% 24.8% 14.5% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 74% -- -- Expense Ratio Investor Shares 0.27% -- -- Institutional Shares 0.10% -- -- Cash Investments 0.0% -- -- - ---------------------------------------------------------------- =================================================== TEN LARGEST HOLDINGS (% of total net assets) Cephalon, Inc. 2.0% (biotechnology) AdvancePCS 1.4 (health care) Commerce Bancorp, Inc. 1.4 (banking) Varian Medical Systems, Inc. 1.3 (health products & services) Whole Foods Market, Inc. 1.2 (drug & grocery stores) Copart, Inc. 1.2 (diversified services) XTO Energy, Inc. 1.1 (oil) Michaels Stores, Inc. 1.1 (retail) 99 Cents Only Stores 1.1 (retail) Medicis Pharmaceutical Corp. 1.0 (pharmaceuticals) - --------------------------------------------------- Top Ten 12.8% =================================================== ============================================================================== VOLATILITY MEASURES Target Wilshire Fund Index* Fund 5000 - ------------------------------------------------------------------------------ R-Squared 1.00 1.00 0.50 1.00 Beta 1.00 1.00 1.05 1.00 ============================================================================== ================================================ INVESTMENT FOCUS MARKET CAP - SMALL STYLE - GROWTH ================================================ ======================================================================== SECTOR DIVERSIFICATION (% of common stocks) Target Wilshire Fund Index* 5000 - ------------------------------------------------------------------------ Auto & Transportation 4.5% 4.5% 2.0% Consumer Discretionary 24.7 25.1 14.8 Consumer Staples 3.4 3.2 6.4 Financial Services 10.8 10.5 20.3 Health Care 22.4 22.4 14.2 Integrated Oils 0.0 0.0 3.5 Other Energy 2.2 2.2 2.1 Materials & Processing 6.8 6.8 3.3 Producer Durables 12.1 12.4 3.4 Technology 11.6 11.4 16.6 Utilities 1.5 1.5 8.1 Other 0.0 0.0 5.3 - ----------------------------------------------------------------------- *S&P SmallCap 600/Barra Growth Index. 8 FUND PROFILE AS OF DECEMBER 31, 2001 for Small-Cap Value Index Fund This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index and a broad market index. Key terms are defined on page 10. =============================================================== PORTFOLIO CHARACTERISTICS Target Wilshire Fund Index* 5000 - --------------------------------------------------------------- Number of Stocks 394 380 6,054 Median Market Cap $0.7B $0.7B $33.4B Price/Earnings Ratio 23.6x 23.6x 30.7x Price/Book Ratio 1.6x 1.6x 3.3x Yield 1.3% 1.3% Investor Shares 0.9% Institutional Shares 1.1% Return on Equity 13.4% 13.4% 22.6% Earnings Growth Rate 12.6% 12.6% 14.5% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 59% -- -- Expense Ratio Investor Shares 0.27% -- -- Institutional Shares 0.10% -- -- Cash Investments 0.4% -- -- =============================================================== ================================================== TEN LARGEST HOLDINGS (% of total net assets) D. R. Horton, Inc. 1.3% (real estate) Constellation Brands, Inc. Class A 1.0 (food, beverage & tobacco) Raymond James Financial, Inc. 0.9 (securities brokers & services) Cullen/Frost Bankers, Inc. 0.8 (banking) Newfield Exploration Co. 0.8 (oil) Massey Energy Co. 0.8 (metals & mining) Adaptec, Inc. 0.8 (computer technology) Toll Brothers, Inc. 0.8 (residential construction) Washington Federal Inc. 0.8 (savings & loan) Zale Corp. 0.8 (specialty retail) - ------------------------------------------------- Top Ten 8.8% ================================================== ========================================================================== VOLATILITY MEASURES Target Wilshire Fund Index* Fund 5000 - -------------------------------------------------------------------------- R-Squared 1.00 1.00 0.45 1.00 Beta 1.00 1.00 0.73 1.00 =========================================================================== ================================================ INVESTMENT FOCUS MARKET CAP - SMALL STYLE - VALUE ================================================ ======================================================================= SECTOR DIVERSIFICATION (% of common stocks) Target Wilshire Fund Index* 5000 - ---------------------------------------------------------------------- Auto & Transportation 5.4% 5.2% 2.0% Consumer Discretionary 18.4 18.3 14.8 Consumer Staples 4.2 4.3 6.4 Financial Services 15.1 15.1 20.3 Health Care 4.4 4.3 14.2 Integrated Oils 0.0 0.0 3.5 Other Energy 8.3 7.5 2.1 Materials & Processing 13.0 14.1 3.3 Producer Durables 12.7 13.0 3.4 Technology 10.7 10.7 16.6 Utilities 7.0 7.0 8.1 Other 0.8 0.5 5.3 ======================================================================== *S&P SmallCap 600/Barra Value Index. [Picture of Computer]Visit our website www.vanguard.com for regularly updated fund information 9 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index benchmark and an overall market index. Each index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the index rose or fell by 10%. - -------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by the fund's target index benchmark and by an overall market index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - -------------------------------------------------------------------------------- 10 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2001 for Small-Cap Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost.
================================================================================ CUMULATIVE PERFORMANCE December 31, 1991-December 31, 2001 [MOUNTAIN CHART] INITIAL INVESTMENT of $10,000 QUARTER SMALL-CAP INDEX AVERAGE SMALL-CAP RUSSELL 2000 WILSHIRE 5000 ENDED FUND INV CORE FUND INDEX INDEX 199112 10000 10000 10000 10000 199203 10796 10451 10750 9867 199206 10082 9841 10017 9855 199209 10361 10063 10304 10157 199212 11820 11499 11841 10897 199303 12408 11974 12347 11361 199306 12602 12108 12617 11446 199309 13635 12853 13720 11910 199312 14031 13208 14080 12126 199403 13754 13029 13706 11674 199406 13288 12476 13173 11583 199409 14219 13271 14087 12213 199412 13960 13138 13823 12119 199503 14630 14116 14461 13213 199506 15990 15326 15816 14447 199509 17582 16963 17378 15767 199512 17972 17262 17755 16536 199603 18968 18467 18661 17465 199606 20028 19807 19594 18234 199609 20155 19952 19661 18750 199612 21228 20664 20683 20044 199703 20172 19898 19614 20173 199706 23667 23547 22793 23580 199709 27363 27267 26185 25881 199712 26448 26059 25308 26315 199803 29133 29318 27854 29805 199806 27665 27875 26555 30385 199809 22094 21393 21206 26730 199812 25757 25111 24664 32481 199903 24313 23510 23326 33707 199906 28480 28265 26954 36338 199909 26752 26733 25250 33934 199912 31715 32250 29907 40133 200003 33895 36267 32024 41665 200006 32825 35936 30814 39797 200009 33109 35488 31153 39863 200012 30870 33885 29001 35745 200103 28869 34327 27115 31334 200106 33204 39419 30990 33676 200109 26328 31070 24546 28322 200112 31827 36477 29722 31826 - ---------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- Average Annual Total Returns Periods Ended December 31, 2001 ------------------------------------------ One Five Ten Final Value of a $10,000 Year Years Years Investment Small-Cap Index Fund Investor Shares* 3.10% 8.44% 12.27% $31,827 Average Small-Cap Core Fund** 7.65 12.04 13.82 36,477 Russell 2000 Index 2.49 7.52 11.51 29,722 Wilshire 5000 Index -10.96 9.69 12.27 31,826 - -------------------------------------------------------------------------------- Final Value One Since of a $250,000 Year Inception*** Investment - -------------------------------------------------------------------------------- Small-Cap Index Fund Admiral Shares 3.17% 4.39% $262,450 Russell 2000 Index 2.49 3.73 260,574 - -------------------------------------------------------------------------------- Final Value One Since of a $10,000,000 Year Inception*** Investment - -------------------------------------------------------------------------------- Small-Cap Index Fund Institutional Shares 3.27% 6.89% $13,481,969 Russell 2000 Index 2.49 6.11 13,049,423 - -------------------------------------------------------------------------------- ================================================================================ TOTAL INVESTMENT RETURNS (%) December 31, 1991-December 31, 2001 Small-Cap Index Fund Investor Shares Russell 2000 Index Fiscal Year Total Return Index* Total Return 1992 18.2% 18.4% 1993 18.7 18.9 1994 -0.5 -1.8 1995 28.7 28.4 1996 18.1 16.5 1997 24.6 22.4 1998 -2.6 -2.5 1999 23.1 21.3 2000 -2.7 -3.0 2001 3.1 2.5 ================================================================================ *Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ***Inception dates are November 13, 2000, for the Admiral Shares and July 7, 1997, for the Institutional Shares. Note: See Financial Highlights tables on pages 48 and 49 for dividend and capital gains information. 11 PERFORMANCE SUMMARY As of December 31, 2001 for Small-Cap Growth Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost.
================================================================================ CUMULATIVE PERFORMANCE May 21, 1998-December 31, 2001 [MOUNTAIN CHART] INITIAL INVESTMENT of $10,000 S&P SmallCap Quarter Small-Cap Average Small-Cap 600/Barra Wilshire Ended Growth Index Fund Growth Fund Growth Index 5000 Index 5/22/2002 9950 10000 10000 10000 199806 9682 9914 9758 10121 199809 7750 7667 7789 8904 199812 9475 9606 9504 10819 199903 8690 9305 8697 11227 199906 9635 10755 9663 12104 199909 9406 11023 9415 11303 199912 11352 15622 11363 13368 200003 12389 17997 12308 13878 200006 12429 16961 12363 13256 200009 12319 17257 12218 13278 200012 11532 14848 11428 11906 200103 10029 11925 9925 10437 200106 11532 13740 11366 11217 200109 9514 10660 9395 9434 200112 11442 13246 11293 10601 - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- Average Annual Total Returns Periods Ended December 31, 2001 ------------------------------------------ Final Value One Since of a $10,000 Year Inception*** Investment Small-Cap Growth Index Fund Investor Shares -0.78% 3.94% $11,500 Fee-Adjusted Returns* -1.27 3.80 11,442 Average Small-Cap Growth Fund** -10.79 8.09 13,246 S&P SmallCap 600/Barra Growth Index -1.18 3.42 11,293 Wilshire 5000 Index -10.96 1.63 10,601 - -------------------------------------------------------------------------------- Final Value One Since of a $10,000 Year Inception*** Investment Small-Cap Growth Index Fund Institutional Shares -0.64% 2.61% $10,422,424 Fee-Adjusted Returns* -1.14 2.29 10,370,312 S&P SmallCap 600/Barra Growth Index -1.18 1.81 10,292,620 - -------------------------------------------------------------------------------- Total Investment Returns ================================================================ TOTAL INVESTMENT RETURNS (%) May 21, 1998-December 31, 2001 Small-Cap Growth Index Fund Investor Shares S&P SmallCap 600/Barra Fiscal Year Total Return Growth Index* Total Return 1998 -4.8 -5.0 1999 19.8 19.6 2000 1.6 0.6 2001 -0.8 -1.2 ================================================================ *Performance figures are adjusted for the 0.5% transaction fee on purchases. The figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ***Inception dates are May 21, 1998, for the Investor Shares and May 24, 2000, for the Institutional Shares. Note: See Financial Highlights tables on page 50 for dividend and capital gains information. 12 PERFORMANCE SUMMARY As of December 31, 2001 for Small-Cap Value Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost.
- ----------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE May 21, 1998-December 31, 2001 [MOUNTAIN CHART] INITIAL INVESTMENT of $10,000 S&P SmallCap Quarter Small-Cap Average Small-Cap 600/Barra Wilshire Ended Value Index Fund Value Fund** Value Index 5000 Index 5/22/2002 9950 10000 10000 10000 199806 9742 9605 9790 10121 199809 7663 7609 7669 8904 199812 8709 8492 8673 10819 199903 7882 7639 7845 11227 199906 9465 9035 9406 12104 199909 8763 8548 8708 11303 199912 9001 9029 8936 13368 200003 9276 9473 9189 13878 200006 9463 9614 9363 13256 200009 10197 10314 10085 13278 200012 10970 10634 10800 11906 200103 10885 10959 10700 10437 200106 12327 12450 12078 11217 200109 10277 10775 10088 9434 200112 12473 12377 12215 10601 - ------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- Average Annual Total Returns Periods Ended December 31, 2001 ------------------------------------------ Final Value One Since of a $10,000 Year Inception*** Investment Small-Cap Value Index Fund Investor Shares 13.70% 6.45% $12,535 Fee-Adjusted Returns* 13.13 6.31 12,473 Average Small-Cap Value Fund** 16.39 6.08 12,377 S&P SmallCap 600/Barra Value Index 13.10 5.69 12,215 Wilshire 5000 Index -10.96 1.63 10,601 - -------------------------------------------------------------------------------- Final Value One Since of a $10,000 Year Inception*** Investment Small-Cap Value Index Fund Institutional Shares 13.86% 18.86% $14,288,224 Fee-Adjusted Returns* 13.29 18.57 14,216,783 S&P SmallCap 600/Barra Value Index 13.10 17.84 14,038,016 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) May 21, 1998-December 31, 2001 Small-Cap Value Index Fund Investor Shares S&P SmallCap 600/Barra Fiscal Year Total Return Value Index* Total Return 1998 -12.5 -13.3 1999 3.3 3.0 2000 21.9 20.9 2001 13.7 13.1 - -------------------------------------------------------------------------------- *Performance figures are adjusted for the 0.5% transaction fee on purchases. The figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **Derived from data provided by Lipper Inc. ***Inception dates are May 21, 1998, for the Investor Shares and December 7, 1999, for the Institutional Shares. Note: See Financial Highlights tables on page 51 for dividend and capital gains information. 13 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for each fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the examples that assume all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. ================================================================================ AVERAGE ANNUAL TOTAL RETURNS Periods Ended December 31, 2001 One Year Five Years* Ten Years Small-Cap Index Fund Investor Shares** Returns Before Taxes 3.10% 8.44% 12.27% Returns After Taxes on Distributions 2.65 6.27 10.28 Returns After Taxes on Distributions and Sale of Fund Shares 1.89 6.35 9.73 - -------------------------------------------------------------------------------- Small-Cap Growth Index Fund Investor SharesY Returns Before Taxes -1.27% 3.80% -- Returns After Taxes on Distributions -1.32 3.29 -- Returns After Taxes on Distributions and Sale of Fund Shares -0.77 2.89 -- - -------------------------------------------------------------------------------- Small-Cap Value Index Fund Investor SharesY Returns Before Taxes 13.13% 6.31% -- Returns After Taxes on Distributions 10.64 4.14 -- Returns After Taxes on Distributions and Sale of Fund Shares 8.08 3.92 -- - -------------------------------------------------------------------------------- *For Vanguard Small-Cap Growth and Small-Cap Value Index Funds, returns are annualized since inception on May 21, 1998. **Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. YPerformance figures are adjusted for the 0.5% transaction fee on purchases. Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. Financial Statements 14 FINANCIAL STATEMENTS December 31, 2001 STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market-value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values.
==================================================================================================================== Market Value* Small-Cap Index Shares (000) - ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1 - ----------------------------------------------------------------------------------------------------------------- * Dean Foods Company 253,881 17,315 * Michaels Stores, Inc. 378,036 12,456 Ball Corp. 160,000 11,312 * Alliant Techsystems, Inc. 142,300 10,986 New York Community Bancorp, Inc. 472,826 10,814 * Andrew Corp. 474,700 10,391 Harman International Industries, Inc. 215,250 9,708 KB HOME 241,400 9,680 IKON Office Solutions, Inc. 821,000 9,597 * J.D. Edwards & Co. 582,000 9,574 * Edwards Lifesciences Corp. 345,429 9,544 CBRL Group, Inc. 321,414 9,462 Dial Corp. 551,331 9,455 Colonial BancGroup, Inc. 670,900 9,453 * Furniture Brands International Inc. 294,769 9,439 Pier 1 Imports Inc. 542,000 9,398 * Novell, Inc. 2,036,163 9,346 * TriQuint Semiconductor, Inc. 760,183 9,320 Lee Enterprises, Inc. 255,814 9,304 * Renal Care Group, Inc. 287,150 9,218 * Fisher Scientific International Inc. 313,800 9,163 * Affiliated Managers Group, Inc. 129,600 9,134 * Performance Food Group Co. 255,400 8,982 Sierra Pacific Resources 595,908 8,968 * Adaptec, Inc. 616,500 8,939 * Techne Corp. 242,300 8,929 * The Titan Corp. 355,424 8,868 Donaldson Co., Inc. 227,523 8,836 AmerUs Group Co. 244,300 8,756 Citizens Banking Corp. 264,892 8,710 York International Corp. 227,029 8,657 RPM Inc. (Ohio) 594,898 8,602 * Zebra Technologies Corp. Class A 154,400 8,571 * Copart, Inc. 235,500 8,565 * Owens-Illinois, Inc. 848,000 8,472 Roper Industries Inc. 170,800 8,455 * Career Education Corp. 243,700 8,354 * NetIQ Corp. 236,304 8,332 Hawaiian Electric Industries Inc. 206,624 8,323 * IndyMac Bancorp, Inc. 355,231 8,305 Greater Bay Bancorp 290,392 8,299 United Dominion Realty Trust REIT 575,450 8,286 First Midwest Bancorp 283,526 8,276 StanCorp Financial Group, Inc. 174,600 8,250 BRE Properties Inc. Class A REIT 265,648 8,224 WGL Holdings Inc. 282,414 8,210 * Charles River Laboratories, Inc. 245,100 8,206 IMC Global Inc. 629,289 8,181 * Scholastic Corp. 162,144 8,161 * InterMune Inc. 165,600 8,157
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==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1 - ----------------------------------------------------------------------------------------------------------------- * Zale Corp. 193,300 8,095 Rayonier Inc. 159,217 8,036 BorgWarner, Inc. 153,579 8,025 * GlobespanVirata, Inc. 618,678 8,012 Harsco Corp. 232,843 7,987 Highwood Properties, Inc. REIT 307,300 7,974 Weingarten Realty Investors REIT 164,875 7,914 * O'Reilly Automotive, Inc. 216,300 7,888 * Covance, Inc. 346,662 7,869 Peoples Energy Corp. 206,700 7,840 Raymond James Financial, Inc. 220,400 7,829 BancorpSouth, Inc. 470,738 7,814 Independence Community Bank Corp. 342,390 7,792 Post Properties, Inc. REIT 219,300 7,787 Polaris Industries, Inc. 134,200 7,750 Hudson United Bancorp 268,851 7,716 * The Cheesecake Factory 221,793 7,712 Camden Property Trust REIT 208,687 7,659 Ruby Tuesday, Inc. 370,200 7,637 * LifePoint Hospitals, Inc. 224,093 7,628 ArvinMeritor, Inc. 388,196 7,624 RGS Energy Group Inc. 201,900 7,591 * Coventry Health Care Inc. 380,400 7,589 * Incyte Genomics, Inc. 387,449 7,579 Westamerica Bancorporation 191,100 7,562 * Dal-Tile International Inc. 325,000 7,556 First American Corp. 398,200 7,462 * The Corporate Executive Board Co. 203,200 7,457 * Perot Systems Corp. 362,900 7,410 AGL Resources Inc. 319,300 7,350 * NVR, Inc. 35,800 7,303 * Swift Transportation Co., Inc. 339,173 7,296 Philadelphia Suburban Corp. 321,875 7,258 Kennametal, Inc. 180,142 7,254 Corn Products International, Inc. 205,400 7,240 * Neurocrine Biosciences, Inc. 140,300 7,199 Thomas & Betts Corp. 339,400 7,178 * GTech Holdings Corp. 157,594 7,137 First Industrial Realty Trust REIT 228,800 7,116 Graco, Inc. 181,387 7,083 * CEC Entertainment Inc. 162,800 7,064 Global Payments Inc. 204,880 7,048 * Liberate Technologies, Inc. 613,200 7,040 * Electronics for Imaging, Inc. 313,900 7,003 * STERIS Corp. 382,454 6,987 * THQ Inc. 144,050 6,982 Pittston Brink's Group 315,407 6,970 United Bankshares, Inc. 238,600 6,885 * Flowserve Corp. 258,046 6,867 Ryder System, Inc. 308,800 6,840 * Western Digital Corp. 1,087,400 6,818 Brown & Brown, Inc. 249,400 6,809 Doral Financial Corp. 217,700 6,794 * Legato Systems, Inc. 521,879 6,769 Whitney Holdings 152,950 6,707 Commercial Federal Corp. 284,900 6,695 Pennzoil-Quaker State Co. 462,878 6,689 Healthcare Realty Trust Inc. REIT 238,807 6,687 Applebee's International, Inc. 195,050 6,671 * Silicon Valley Bancshares 248,900 6,653 W.R. Berkley Corp. 123,575 6,635 Aptargroup Inc. 189,200 6,628 CenterPoint Properties Corp. REIT 132,800 6,613 * Ascential Software Corp. 1,629,600 6,600 * Aeroflex, Inc. 348,450 6,596 Dole Food Co. 245,236 6,580 Fair, Isaac & Co. Inc. 104,150 6,564 * Varian Semiconductor Equipment Associates, Inc. 189,700 6,562 Carlisle Co., Inc. 176,655 6,533 NDC Health Corp. 188,500 6,513 HRPT Properties Trust REIT 748,500 6,482 * Plexus Corp. 243,084 6,456 * Mid Atlantic Medical Services, Inc. 282,300 6,408 * CommScope, Inc. 300,454 6,391 PNM Resources Inc. 228,363 6,383 Piedmont Natural Gas, Inc. 177,751 6,363 * Avocent Corp. 260,398 6,315 Alexander & Baldwin, Inc. 236,348 6,310 * Scios, Inc. 264,800 6,294 Park National Corp. 67,760 6,285 * United Stationers, Inc. 186,200 6,266 * Credence Systems Corp. 337,207 6,262 * Cytec Industries, Inc. 230,700 6,228 IDEX Corp. 179,000 6,176 * Respironics, Inc. 177,891 6,162 * Black Box Corp. 116,500 6,161 * NPS Pharmaceuticals Inc. 160,800 6,159 La-Z-Boy Inc. 281,500 6,142 DQE Inc. 324,340 6,140 WPS Resources Corp. 167,400 6,118 Ametek Aerospace Products Inc. 190,800 6,085 AGCO Corp. 385,347 6,081 John Wiley & Sons Class A 263,000 6,057 Forest City Enterprise Class A 156,350 6,051 * Veeco Instruments, Inc. 167,800 6,049 * Powerwave Technologies, Inc. 349,779 6,044 * Accredo Health, Inc. 152,100 6,038 * CV Therapeutics, Inc. 116,000 6,034 * Macromedia, Inc. 337,960 6,016 * 99 Cents Only Stores 157,699 6,008
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==================================================================================================================== Market Value* Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Apria Healthcare Group Inc. 237,655 5,939 * LTX Corp. 283,268 5,932 * Jack in the Box Inc. 215,000 5,921 Crompton Corp. 657,861 5,921 * Varian, Inc. 181,600 5,891 Dillard's Inc. 367,100 5,874 Trinity Industries, Inc. 216,046 5,870 * Commerce One, Inc. 1,643,600 5,868 Cooper Tire & Rubber Co. 365,700 5,837 Federal Signal Corp. 261,471 5,823 * Arbitron Inc. 170,300 5,816 Tupperware Corp. 302,000 5,814 Lancaster Colony Corp. 163,363 5,801 * Transkaryotic Therapies, Inc. 135,200 5,787 * Advanced Digital Information Corp. 359,000 5,758 * Toll Brothers, Inc. 130,700 5,738 * S1 Corp. 354,500 5,736 Sensient Technologies Corp. 275,500 5,732 Jefferies Group, Inc. 134,832 5,705 * Stericycle, Inc. 93,700 5,704 * Province Healthcare Co. 184,750 5,701 * Mueller Industries Inc. 171,400 5,699 Cambrex Corp. 130,700 5,699 Universal Corp. VA 156,100 5,684 Church & Dwight, Inc. 213,300 5,680 Ryland Group, Inc. 77,500 5,673 * PETsMART, Inc. 576,350 5,671 * Tetra Tech, Inc. 284,603 5,666 * Insight Enterprises, Inc. 230,100 5,660 * Cubist Pharmaceuticals, Inc. 156,400 5,624 * Keane, Inc. 311,520 5,617 * Alpha Industries, Inc. 257,600 5,616 Washington REIT 225,450 5,611 Developers Diversified Realty Corp. REIT 292,900 5,594 Worthington Industries, Inc. 393,800 5,592 Realty Income Corp. REIT 190,100 5,589 Annaly Mortgage Management Inc. REIT 348,800 5,581 Shurgard Storage Centers, Inc. Class A REIT 174,200 5,574 * IDEXX Laboratories Corp. 195,400 5,571 Regis Corp. 214,750 5,536 ONEOK, Inc. 310,264 5,535 Diagnostic Products Corp. 125,000 5,494 * Atlantic Coast Airlines Holdings Inc. 233,300 5,434 Community First Bankshares, Inc. 210,700 5,413 * Direct Focus, Inc. 173,275 5,406 Commerce Group, Inc. 143,400 5,405 Briggs & Stratton Corp. 126,100 5,383 Staten Island Bancorp, Inc. 328,900 5,364 * Linens 'n Things, Inc. 210,100 5,358 * Chesapeake Energy Corp. 810,180 5,355 * Price Communications Corp. 280,314 5,351 * Kopin Corp. 381,900 5,347 * Isis Pharmaceuticals, Inc. 240,800 5,342 * Kronos, Inc. 110,275 5,335 Cleco Corp. 242,802 5,334 * Gartner, Inc. Class A 456,300 5,334 Minerals Technologies, Inc. 114,096 5,321 * Concurrent Computer Corp. 355,100 5,273 * Tom Brown, Inc. 193,700 5,232 American Capital Strategies, Ltd. 183,900 5,214 * Ohio Casualty Corp. 324,716 5,212 TrustCo Bank NY 413,387 5,196 * Activision, Inc. 199,700 5,194 * AmeriPath, Inc. 161,100 5,157 Louisiana-Pacific Corp. 609,700 5,146 * Chico's FAS, Inc. 129,500 5,141 Nationwide Health Properties, Inc. REIT 274,200 5,125 * Coherent, Inc. 165,300 5,111 * Elantec Semiconductor, Inc. 132,300 5,080 * Key Energy Services, Inc. 551,800 5,077 American Greetings Corp. Class A 368,200 5,074 Cousins Properties, Inc. REIT 208,263 5,073 Alfa Corp. 225,800 5,067 * ITT Educational Services, Inc. 137,200 5,059 Atmos Energy Corp. 237,748 5,052 Horace Mann Educators Corp. 237,146 5,032 * Plantronics, Inc. 196,200 5,031 * AnnTaylor Stores Corp. 143,600 5,026 * Airgas, Inc. 332,372 5,025 * InFocus Corp. 227,756 5,015 * R.H. Donnelley Corp. 172,500 5,011 Bob Evans Farms, Inc. 203,237 4,993 Prentiss Properties Trust REIT 181,800 4,990 * Too Inc. 181,320 4,986 * ILEX Oncology, Inc. 184,000 4,975 * Waste Connections, Inc. 160,100 4,961 * Stone Energy Corp. 125,441 4,955 * Kulicke & Soffa Industries, Inc. 286,400 4,911 * Inktomi Corp. 728,400 4,888 * Microsemi Corp. 164,300 4,880 New Jersey Resources Corp. 104,000 4,867 * Documentum, Inc. 223,700 4,859 Technitrol, Inc. 175,600 4,850 Potlatch Corp. 165,328 4,847 USFreightways Corp. 154,200 4,842 The Macerich Co. REIT 182,000 4,841 Chittenden Corp. 175,221 4,836 * Circuit City Stores, Inc. - CarMax Group 211,900 4,819
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==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS (99.6%)(1 - ----------------------------------------------------------------------------------------------------------------- * Kansas City Southern Industries, Inc. 340,900 4,817 * Alamosa Holdings, Inc. 403,700 4,816 * Beverly Enterprises, Inc. 560,000 4,816 Federal Realty Investment Trust REIT 208,700 4,800 * Cymer, Inc. 179,400 4,795 * Cognex Corp. 187,200 4,794 * Photronics Labs Inc. 152,500 4,781 * Sybron Dental Specialties, Inc. 221,400 4,778 * Electro Scientific Industries, Inc. 158,800 4,766 UGI Corp. Holding Co. 157,800 4,766 * Cell Therapeutics, Inc. 197,300 4,763 H.B. Fuller Co. 165,278 4,755 Susquehanna Bancshares, Inc. 227,775 4,749 Downey Financial Corp. 114,946 4,742 Oshkosh Truck Corp. 97,000 4,729 * ADVO, Inc. 109,850 4,724 * Borland Software Corp. 301,100 4,715 * Cell Genesys, Inc. 202,353 4,703 * Cal Dive International, Inc. 190,300 4,696 * SonicWALL, Inc. 241,400 4,693 SL Green Realty Corp. REIT 152,400 4,680 Alpharma, Inc. Class A 176,934 4,680 The Timken Co. 287,600 4,653 * Exar Corp. 222,900 4,646 Millennium Chemicals, Inc. 367,800 4,633 * Spinnaker Exploration Co. 112,300 4,622 * SEACOR SMIT Inc. 99,350 4,610 Health Care REIT, Inc. 188,900 4,600 Hilb, Rogal and Hamilton Co. 81,900 4,590 * Getty Images, Inc. 199,400 4,582 * Read Rite Corp. 692,400 4,577 * Southwest Bancorporation of Texas, Inc. 150,300 4,550 * Trimeris, Inc. 100,800 4,533 * MSC Industrial Direct Co., Inc. Class A 229,500 4,533 The Pep Boys (Manny, Moe & Jack) 263,200 4,514 Texas Industries, Inc. 122,320 4,514 Fleming Cos., Inc. 243,400 4,503 * Avant! Corp. 219,038 4,488 Tecumseh Products Co. Class A 88,533 4,482 Lincoln Electric Holdings 183,200 4,477 * Alaska Air Group, Inc. 153,704 4,473 * Anixter International Inc. 154,000 4,468 * Brooks Automation, Inc. 109,500 4,453 * Immunomedics Inc. 219,800 4,453 Chelsea Property Group REIT 90,400 4,439 Blyth, Inc. 190,901 4,438 Dreyer's Grand Ice Cream, Inc. 114,718 4,418 Granite Construction Co. 182,657 4,398 PolyOne Corp. 448,300 4,393 Manitowac Co., Inc. 141,000 4,385 * Interlogix, Inc. 113,307 4,382 * Choice Hotel International, Inc. 197,800 4,381 Superior Industries International, Inc. 108,772 4,377 * Sonic Corp. 121,550 4,375 * American Management Systems, Inc. 241,500 4,366 * Christopher & Banks Corporation 127,400 4,363 * Education Management Corp. 120,100 4,354 * CACI International, Inc. 110,000 4,343 * Bruker Daltonics, Inc. 265,100 4,334 * Impath, Inc. 97,300 4,330 * Silicon Storage Technology, Inc. 447,700 4,315 Matthews International Corp. 175,400 4,311 * Eclipsys Corp. 257,200 4,308 The South Financial Group, Inc. 242,522 4,305 * Pathmark Stores, Inc. 174,400 4,301 Delta & Pine Land Co. 190,000 4,300 * Scotts Co. 90,200 4,294 * La Quinta Properties, Inc 746,622 4,286 * El Paso Electric Co. 295,300 4,281 * Regeneron Pharmaceuticals, Inc. 151,700 4,272 * Argosy Gaming Co. 130,800 4,254 CH Energy Group, Inc. 97,700 4,247 Ferro Corp. 164,608 4,247 Pacific Capital Bancorp 152,500 4,238 Hughes Supply, Inc. 137,150 4,234 * Mercury Computer Systems, Inc. 108,000 4,224 Banta Corp. 143,037 4,222 * HNC Software, Inc. 204,600 4,215 FactSet Research Systems Inc. 120,100 4,197 Wallace Computer Services, Inc. 220,669 4,191 * Perrigo Co. 352,610 4,168 * Ligand Pharmaceuticals Inc. Class B 232,700 4,165 Gables Residential Trust REIT 140,700 4,165 * FileNET Corp. 205,100 4,161 * Dycom Industries, Inc. 248,700 4,156 * Stillwater Mining Co. 224,550 4,154 Otter Tail Corp. 142,200 4,144 * US Oncology, Inc. 549,082 4,140 * Pediatrix Medical Group, Inc. 122,000 4,137 Airborne, Inc. 278,736 4,134 * Imation Corp. 191,400 4,130 * Collins & Aikman Corp. 535,400 4,123 Longs Drug Stores, Inc. 176,198 4,120 * FreeMarkets, Inc. 171,400 4,108 Cabot Oil & Gas Corp. Class A 170,626 4,103 Cooper Cos., Inc. 82,000 4,098 Essex Property Trust, Inc. REIT 82,900 4,096
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==================================================================================================================== Market Value* Shares (000) - ----------------------------------------------------------------------------------------------------------------- Vintage Petroleum, Inc. 282,500 4,082 Harleysville Group, Inc. 170,400 4,071 Invacare Corp. 120,300 4,055 * K-V Pharmaceutical Co. Class B 124,875 4,053 Liberty Corp. 98,500 4,053 * American Italian Pasta Co. 96,200 4,043 LNR Property Corp. 129,150 4,027 * Overture Services, Inc. 113,500 4,021 MDC Holdings, Inc. 106,356 4,019 Ventas, Inc. REIT 349,300 4,017 Pan Pacific Retail Properties, Inc. REIT 139,060 3,994 Energen Corp. 161,600 3,983 UMB Financial Corp. 99,503 3,980 Florida Rock Industries, Inc. 108,700 3,976 Interstate Bakeries Corp. 164,400 3,975 American Financial Holdings, Inc. 156,400 3,974 International Bancshares Corp. 94,282 3,974 Werner Enterprises, Inc. 163,374 3,970 * Intergraph Corp. 288,300 3,961 * Haemonetics Corp. 116,150 3,940 * Ralcorp Holdings, Inc. 173,300 3,934 Chemical Financial Corp. 130,422 3,934 F.N.B. Corp. 148,791 3,921 * Flowers Foods, Inc. 97,900 3,908 Republic Bancorp, Inc. 282,022 3,906 * Sylvan Learning Systems, Inc. 176,384 3,893 J. M. Smucker Co. 109,810 3,885 * Harmonic, Inc. 322,300 3,874 First Commonwealth Financial Corp. 336,100 3,872 G & K Services, Inc. 119,650 3,865 Newport Corp. 199,600 3,848 * Numerical Technologies, Inc. 109,200 3,844 Reckson Associates Realty Corp. REIT 164,300 3,838 * American Medical Systems Holdings, Inc. 184,900 3,826 * Ryan's Family Steak Houses, Inc. 176,700 3,826 * Rambus Inc. 478,000 3,819 * ImmunoGen, Inc. 230,000 3,813 * VISX Inc. 287,500 3,809 * Leap Wireless International, Inc. 181,375 3,803 * Modis Professional Services Inc. 531,845 3,797 Southwest Gas Corp. 169,900 3,797 Brady Corp. Class A 103,700 3,795 Storage USA, Inc. REIT 90,100 3,793 * Men's Wearhouse, Inc. 183,650 3,792 Western Gas Resources, Inc. 117,210 3,788 * Oak Technology, Inc. 275,200 3,784 * ATMI, Inc. 158,100 3,771 * Hyperion Solutions Corp. 189,819 3,770 Kilroy Realty Corp. REIT 143,200 3,762 Modine Manufacturing Co. 161,185 3,760 CBL & Associates Properties, Inc. REIT 119,100 3,752 * Evergreen Resources, Inc. 97,000 3,745 Regency Centers Corp. REIT 134,500 3,732 * DMC Stratex Networks, Inc. 478,100 3,720 John H. Harland Co. 168,300 3,719 Northwest Natural Gas Co. 145,850 3,719 * Hain Celestial Group, Inc. 135,200 3,713 First Financial Bancorp 209,682 3,701 Thornburg Mortgage, Inc. 187,800 3,700 Claire's Stores, Inc. 244,832 3,697 * eFunds Corp. 268,700 3,695 UIL Holdings Corp. 71,950 3,691 * Aztar Corp. 200,900 3,676 Summit Properties, Inc. REIT 146,700 3,670 * Beazer Homes USA, Inc. 50,100 3,666 * Integrated Circuit Systems, Inc. 162,100 3,662 Kaydon Corp. 161,110 3,654 Avista Corp. 275,500 3,653 * Pharmaceutical Resources, Inc. 108,000 3,650 * Footstar Inc. 116,300 3,640 * Sapient Corp. 471,500 3,640 Owens & Minor, Inc. Holding Co. 196,237 3,630 Standard Pacific Corp. 149,200 3,629 Wolverine World Wide, Inc. 240,640 3,622 * ESS Technology, Inc. 170,300 3,621 Reliance Steel & Aluminum Co. 137,900 3,620 * Corixa Corp. 240,166 3,619 * Southern Union Co. 191,780 3,617 * Yellow Corp. 143,650 3,606 Provident Bankshares Corp. 148,102 3,599 Nordson Corp. 135,809 3,587 * Administaff, Inc. 130,600 3,580 * Hollywood Entertainment Corp. 249,800 3,570 Overseas Shipholding Group Inc. 158,394 3,564 Media General, Inc. Class A 71,200 3,548 * Thoratec Corp. 208,663 3,547 Alexandria Real Estate Equities, Inc. REIT 86,200 3,543 * Landstar System, Inc. 48,600 3,524 * Priceline.com Inc. 605,200 3,522 Chateau Communities, Inc. REIT 117,800 3,522 Albemarle Corp. 146,520 3,516 * Cable Design Technologies Corp. 256,125 3,504 * Power Integrations, Inc. 153,400 3,504 Longview Fibre Co. 295,895 3,495 Mentor Corp. 122,300 3,493 East West Bancorp, Inc. 135,600 3,492 Clarcor Inc. 128,525 3,489 First Bancorp/Puerto Rico 122,100 3,480 * Schuler Homes Inc. Class A 174,740 3,469 C & D Technology Inc. 151,700 3,466
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==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Insituform Technologies Inc. Class A 135,400 3,464 * FuelCell Energy, Inc. 190,900 3,463 * UCAR International, Inc. 323,118 3,457 * Montana Power Co. 601,198 3,457 * Arkansas Best Corp. 119,400 3,441 * Champion Enterprises, Inc. 279,348 3,439 * Pacific Sunwear of California 168,062 3,432 * Take-Two Interactive Software, Inc. 212,200 3,431 First Citizens BancShares Class A 35,100 3,431 * Verity, Inc. 169,100 3,424 * Secure Computing Corp. 166,500 3,422 * Photon Dynamics, Inc. 74,900 3,419 * Plains Resources Inc. 138,900 3,418 Capitol Federal Financial 163,960 3,417 St. Mary Land & Exploration Co. 160,980 3,411 Casey's General Stores 228,857 3,410 * SeaChange International, Inc. 99,900 3,409 * Hutchinson Technology, Inc. 145,800 3,385 * Zoran Corp. 103,300 3,372 * PSS World Medical, Inc. 412,262 3,364 * Sirius Satellite Radio, Inc. 289,100 3,362 USEC Inc. 469,200 3,359 * Digital Insight Corp. 150,100 3,356 Northwestern Corp. 158,300 3,332 * Exelixis, Inc. 200,400 3,331 * Lands' End, Inc. 66,400 3,331 UniSource Energy Corp. 182,760 3,324 * Stewart Enterprises, Inc. Class A 554,800 3,323 * Bally Total Fitness Holding Corp. 154,100 3,322 Belden, Inc. 140,900 3,318 Home Properties of New York, Inc. REIT 105,000 3,318 * Veritas DGC Inc. 178,600 3,304 * Syncor International Corp. 115,200 3,299 * Cost Plus, Inc. 124,250 3,293 S & T Bancorp, Inc. 135,500 3,290 * Hot Topic, Inc. 104,700 3,287 Amcore Financial 147,020 3,286 * The InterCept Group, Inc. 80,300 3,284 * Barra, Inc. 69,550 3,275 ABM Industries 104,400 3,273 Vector Group Ltd. 99,423 3,266 The Toro Co. 72,400 3,258 Olin Corp. 201,200 3,247 * Tweeter Home Entertainment Group, Inc. 111,800 3,242 Charter Municipal Mortgage Acceptance Co. 199,300 3,239 * MKS Instruments, Inc. 119,696 3,235 * Adolor Corp. 180,200 3,235 * Albany Molecular Research, Inc. 122,100 3,234 Wausau-Mosinee Paper Corp. 266,662 3,227 Sun Communities, Inc. REIT 86,600 3,226 * Terex Corp. 183,700 3,222 * DSP Group Inc. 138,146 3,213 * Journal Register Co. 152,600 3,211 Selective Insurance Group 147,600 3,207 * Stellent Inc. 108,200 3,198 * Metro One Telecommunications, Inc. 105,700 3,197 * Information Holdings Inc. 112,700 3,191 First Charter Corp. 178,900 3,186 * Microtune, Inc. 135,800 3,186 UCBH Holdings, Inc. 112,000 3,185 * Triumph Group, Inc. 98,000 3,185 * Ixia 246,800 3,171 * Symyx Technologies 148,800 3,161 MAF Bancorp, Inc. 107,051 3,158 * AmSurg Corp. 116,000 3,153 * Jones Lang Lasalle Inc. 174,400 3,148 Kellwood Co. 130,950 3,144 * Interdigital Communications Corp. 323,100 3,134 * Sonic Automotive, Inc. 133,700 3,134 * E.Piphany Inc. 359,800 3,134 * Websense, Inc. 97,600 3,130 * ADTRAN Inc. 122,600 3,129 Elcor Corp. 112,325 3,122 Cornerstone Realty Income Trust, Inc. REIT 274,700 3,118 * DIANON Systems, Inc. 51,274 3,117 * Gaylord Entertainment Co. Class A 126,575 3,114 MeriStar Hospitality Corp. REIT 219,234 3,113 * Coinstar, Inc. 124,400 3,110 * AirGate PCS, Inc. 68,200 3,107 * IHOP Corp. 105,900 3,103 LandAmerica Financial Group, Inc. 107,700 3,091 * SCP Pool Corp. 112,550 3,089 * CIMA Labs Inc. 85,383 3,087 * Computer Network Technology Corp. 173,400 3,085 * Aspen Technologies, Inc. 182,800 3,071 Brandywine Realty Trust REIT 144,800 3,051 Waypoint Financial Corp. 202,100 3,048 * Agile Software Corp. 176,600 3,041 * Forward Air Corp. 89,600 3,039 * Ionics, Inc. 101,200 3,039 Texas Regional Bancshares, Inc. 80,140 3,033 Patina Oil & Gas Corp. 110,200 3,031 * Cerus Corp. 66,000 3,020 * MAXIMUS, Inc. 71,700 3,016 * Newpark Resources, Inc. 381,000 3,010
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==================================================================================================================== Market Value* Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Amylin Pharmaceuticals, Inc. 329,100 3,008 * Bio-Rad Laboratories, Inc. Class A 47,500 3,007 * Teledyne Technologies, Inc. 184,458 3,005 Carpenter Technology Corp. 112,470 2,994 * Teletech Holdings Inc. 208,900 2,994 Woodward Governor Co. 51,300 2,988 * Mobile Mini, Inc. 76,100 2,977 * Cyberonics, Inc. 112,145 2,975 * Enzo Biochem, Inc. 126,578 2,975 * Charming Shoppes, Inc. 560,000 2,974 * SBA Communications Corp. 228,100 2,970 * Edison Schools Inc. 151,100 2,969 * IGEN International, Inc. 74,000 2,967 * Westport Resources Corp. 170,950 2,966 * Kirby Corp. 107,600 2,964 Interactive Data Corp. 209,578 2,963 * UICI 219,500 2,963 * Maxygen Inc. 168,600 2,962 * Sunrise Assisted Living, Inc. 101,500 2,955 Helix Technology Corp. 131,000 2,954 * Panera Bread Co. 56,700 2,951 Kimball International, Inc. Class B 194,500 2,947 Fred's, Inc. 71,925 2,946 * Spherion Corp. 301,806 2,946 Hooper Holmes, Inc. 329,000 2,945 * Terayon Communications Systems, Inc. 355,100 2,937 * Paxar Corp. 205,956 2,925 * Monaco Coach Corp. 133,675 2,923 * Progress Software Corp. 169,000 2,920 * Gene Logic Inc. 154,900 2,918 * AstroPower, Inc. 72,000 2,911 FelCor Lodging Trust, Inc. REIT 173,800 2,904 * Commonwealth Telephone Enterprises, Inc. 63,799 2,903 Libbey, Inc. 88,700 2,896 * NBTY, Inc. 247,300 2,893 * Acuity Brands, Inc. 238,500 2,886 * Dionex Corp. 112,700 2,875 * Advanced Energy Industries, Inc. 107,700 2,869 * Armor Holdings, Inc. 106,300 2,869 * Prime Hospitality Corp. 259,500 2,867 Grey Global Group Inc. 4,300 2,867 Cathay Bancorp, Inc. 44,710 2,864 * Emisphere Technologies, Inc. 89,600 2,859 * InfoSpace, Inc. 1,392,950 2,856 * Arris Group Inc. 291,400 2,844 * Oceaneering International, Inc. 127,900 2,829 CVB Financial Corp. 120,813 2,827 Baldor Electric Co. 134,927 2,820 * EMCOR Group, Inc. 62,100 2,819 * Rare Hospitality International Inc. 124,700 2,811 Ruddick Corp. 175,764 2,810 * Identix, Inc. 192,500 2,809 * Frontier Airlines, Inc. 165,150 2,808 * NYFIX, Inc. 140,100 2,805 * Entrust, Inc. 275,200 2,804 * JDA Software Group, Inc. 125,350 2,802 * FEI Co. 88,900 2,801 Mills Corp. REIT 105,647 2,798 * EGL, Inc. 199,850 2,788 * Littelfuse, Inc. 106,200 2,787 * SurModics, Inc. 76,400 2,786 * On Assignment, Inc. 121,000 2,779 * PRI Automation, Inc. 135,800 2,777 * Bio-Technology General Corp. 337,400 2,777 * Cumulus Media Inc. 171,300 2,772 Stewart & Stevenson Services, Inc. 146,910 2,763 * OfficeMax, Inc. 613,900 2,763 * Ciber, Inc. 292,200 2,761 * Rogers Corp. 91,000 2,757 * C-COR Electronics, Inc. 188,500 2,746 * F.Y.I. Inc. 81,900 2,744 * Conmed Corp. 137,125 2,737 Glimcher Realty Trust REIT 145,300 2,736 Arch Chemicals, Inc. 117,800 2,733 The Trust Co. of New Jersey 108,370 2,731 Winnebago Industries, Inc. 73,900 2,730 * AsiaInfo Holdings, Inc. 156,500 2,726 * CryoLife Inc. 90,800 2,724 * Tularik, Inc. 113,400 2,724 * RehabCare Group, Inc. 91,900 2,720 * Swift Energy Co. 133,820 2,703 * Corrections Corp. of America 145,518 2,701 * IDT Corp. 138,400 2,700 JLG Industries, Inc. 253,000 2,694 * Tesoro Petroleum Corp. 205,400 2,693 * Unit Corp. 208,500 2,690 * ANADIGICS, Inc. 175,900 2,682 * CUNO Inc. 87,850 2,679 * ProQuest Company 78,700 2,669 * Great Atlantic & Pacific Tea Co., Inc. 112,100 2,666 * Netegrity, Inc. 137,450 2,661 CTS Corp. 166,600 2,649 Sandy Spring Bancorp, Inc. 83,000 2,644 * INAMED Corp. 87,800 2,640 * Actel Corp. 132,600 2,640 Colonial Properties Trust REIT 84,700 2,638 * Value Vision International, Inc. Class A 134,600 2,637 * Bay View Capital Corp. 358,799 2,630 * Pacificare Health Systems, Inc. 164,300 2,629
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==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Genesco, Inc. 126,600 2,628 * Midway Games Inc. 174,611 2,621 * Vitria Technology, Inc. 409,400 2,616 * Transaction Systems Architects, Inc. 213,300 2,615 Arrow International, Inc. 65,300 2,608 Frontier Financial Corp. 99,600 2,606 * Asyst Technologies, Inc. 204,100 2,604 Apogee Enterprises, Inc. 164,500 2,602 * WebEx Communications, Inc. 104,700 2,602 * Group 1 Automotive, Inc. 91,100 2,597 The Laclede Group, Inc 108,600 2,596 * Pegasus Communications Corp. Class A 249,200 2,594 * Pinnacle Systems, Inc. 326,600 2,593 * Iomega Corp. 309,800 2,587 Fremont General Corp. 330,600 2,585 * MSC.Software Corp. 165,700 2,585 * Gentiva Health Services, Inc. 117,600 2,581 Georgia Gulf Corp. 139,300 2,577 * Alliance Gaming Corp. 87,500 2,572 * Remec, Inc. 257,400 2,571 GenCorp, Inc. 182,140 2,570 * The Topps Co., Inc. 211,500 2,570 Florida East Coast Industries, Inc. Class A 111,000 2,570 * Lone Star Technologies, Inc. 146,000 2,570 Manufactured Home Communities, Inc. REIT 82,300 2,569 * Sola International Inc. 132,400 2,569 * Action Performance Cos., Inc. 83,800 2,565 * First Federal Financial Corp. 99,850 2,559 Presidential Life Corp. 124,300 2,556 Sterling Bancshares, Inc. 203,650 2,550 W Holding Co., Inc. 157,200 2,547 * MICROS Systems, Inc. 101,400 2,545 * Tanox, Inc. 137,400 2,542 Park Electrochemical Corp. 96,200 2,540 * Itron, Inc. 83,800 2,539 * DRS Technologies, Inc. 71,200 2,538 * Maverick Tube Corp. 195,700 2,534 Koger Equity, Inc. REIT 155,000 2,527 * P.F. Chang's China Bistro, Inc. 53,400 2,526 Delphi Financial Group, Inc. 75,805 2,524 Roadway Corp 68,500 2,514 * Akamai Technologies, Inc. 420,600 2,498 Taubman Co. REIT 168,000 2,495 Harleysville National Corp. 105,846 2,493 * Philadelphia Consolidated Holding Corp. 66,100 2,493 * Neose Technologies, Inc. 68,000 2,490 * Manhattan Associates, Inc. 85,400 2,489 General Cable Corp. 189,750 2,486 * Sage, Inc. 67,000 2,484 * Entegris Inc. 226,500 2,482 * Simpson Manufacturing Co. 43,200 2,475 Frontier Oil Corp. 148,500 2,471 Greif Brothers Corp. Class A 74,800 2,465 Madison Gas & Electric Co. 93,075 2,462 Bowne & Co., Inc. 191,900 2,456 * Tollgrade Communications, Inc. 73,600 2,455 Promistar Financial Corp. 100,093 2,447 Chesapeake Corp. of Virginia 87,900 2,444 Pulitzer, Inc. 47,800 2,438 Argonaut Group, Inc. 124,300 2,433 Seacoast Financial Services Corp. 141,800 2,432 WD-40 Co. 91,100 2,428 * Grey Wolf, Inc. 817,100 2,427 * NCO Group, Inc. 105,850 2,424 * Station Casinos, Inc. 216,300 2,420 Regal-Beloit Corp. 111,000 2,420 Lennox International Inc. 249,000 2,415 Anthracite Capital Inc. 219,200 2,409 Wellman, Inc. 155,500 2,409 * FLIR Systems, Inc. 63,500 2,408 * Heartland Express, Inc. 86,660 2,407 * Crestline Capital Corp. 77,300 2,401 * Dendrite International, Inc. 169,800 2,382 * UbiquiTel Inc. 318,400 2,372 * DDi Corp. 240,700 2,368 * ViroPharma Inc. 103,100 2,366 * Safeguard Scientifics, Inc. 673,900 2,359 * F5 Networks, Inc. 109,300 2,354 * Papa John's International, Inc. 85,535 2,351 * Trimble Navigation Ltd. 144,640 2,345 Oshkosh B' Gosh, Inc. Class A 55,900 2,344 * TranSwitch Corp. 520,000 2,340 Commercial Metals Co. 66,866 2,339 Crawford & Co. Class B 199,150 2,334 * Korn/Ferry International 219,136 2,334 Corus Bankshares Inc. 51,400 2,334 Cohu, Inc. 118,100 2,332 Commercial Net Lease Realty REIT 179,100 2,328 * W-H Energy Services, Inc. 121,200 2,309 A. Schulman Inc. 169,036 2,307 JDN Realty Corp. REIT 187,050 2,306 * Silicon Graphics, Inc. 1,097,600 2,305 * Interneuron Pharmaceutical, Inc. 207,800 2,305 * webMethods, Inc. 137,500 2,305 * ProAssurance Corp. 130,996 2,303 * MatrixOne, Inc. 177,200 2,302 * WMS Industries, Inc. 114,900 2,298 * AirTran Holdings, Inc. 347,900 2,296 * Noven Pharmaceuticals, Inc. 129,200 2,293 Fleetwood Enterprises, Inc. 202,300 2,292
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==================================================================================================================== Market Value* Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Nabi 221,800 2,289 * Griffon Corp. 152,530 2,288 * Serologicals Corp. 106,300 2,285 * Electronics Boutique Holdings Corp. 57,200 2,285 * Ocular Sciences, Inc. 98,000 2,283 * Alexion Pharmaceuticals, Inc. 93,400 2,283 * Stratos Lightwave, Inc. 370,430 2,278 * Checkpoint Systems, Inc. 170,000 2,278 National Penn Bancshares Inc. 103,462 2,276 Bandag, Inc. 65,300 2,270 Barnes Group, Inc. 94,400 2,265 * Palm Harbor Homes, Inc. 94,529 2,264 Datascope Corp. 66,700 2,262 * Charlotte Russe Holding Inc. 121,000 2,252 * Lexicon Genetics Inc. 194,700 2,247 * Atrix Laboratories, Inc. 109,000 2,246 Dime Community Bancshares 79,900 2,242 * InterVoice-Brite, Inc. 174,600 2,235 South Jersey Industries, Inc. 68,436 2,231 Sovran Self Storage, Inc. REIT 71,300 2,221 Quanex Corp. 77,800 2,202 Westbanco Inc. 103,679 2,191 * Superior Energy Services, Inc. 252,960 2,188 * MRV Communications Inc. 513,689 2,178 * Benchmark Electronics, Inc. 114,800 2,177 Thomas Industries, Inc. 86,850 2,171 * Boca Resorts, Inc. Class A 165,400 2,167 Mid-State Bancshares 132,900 2,164 * ESCO Technologies Inc. 62,700 2,163 Glenborough Realty Trust, Inc. REIT 111,300 2,159 Empire District Electric Co. 102,670 2,156 Nu Skin Enterprises, Inc. 246,400 2,156 NACCO Industries, Inc. Class A 37,895 2,152 * Quiksilver, Inc. 125,100 2,152 * Input/Output, Inc. 261,800 2,149 * California Pizza Kitchen, Inc. 86,700 2,146 * UnitedGlobalCom Inc. Class A 428,900 2,145 * MRO Software Inc. 91,600 2,142 Mid-America Apartment Communities, Inc. REIT 81,400 2,141 * International Multifoods Corp. 89,400 2,137 * BOK Financial Corp. 67,702 2,133 Harbor Florida Bancshares, Inc. 125,484 2,133 Capital Automotive REIT 107,200 2,132 * Anaren Microwave, Inc. 123,000 2,130 * MGI Pharma, Inc. 139,400 2,130 EastGroup Properties, Inc. REIT 92,200 2,127 * Tower Automotive, Inc. 235,300 2,125 * Connetics Corp. 178,500 2,124 * Handleman Co. 143,000 2,124 * Unifi, Inc. 292,260 2,119 * Vicor Corp. 130,400 2,112 * Spanish Broadcasting System, Inc. 213,300 2,110 California Water Service Group 81,826 2,107 * SangStat Medical Corp. 107,100 2,103 * ArthroCare Corp. 117,200 2,101 * J.B. Hunt Transport Services, Inc. 90,500 2,100 * Intermagnetics General Corp. 80,984 2,097 MacDermid, Inc. 123,200 2,088 * Rayovac Corp. 118,500 2,086 * URS Corp. 76,000 2,083 * PAREXEL International Corp. 145,100 2,082 * Diversa Corp. 147,100 2,081 * DiamondCluster International, Inc. 158,750 2,080 * School Specialty, Inc. 90,700 2,075 United National Bancorp 86,346 2,073 * InterTAN, Inc. 165,050 2,073 Boston Private Financial Holdings, Inc. 93,600 2,066 * The Boyds Collection, Ltd. 304,800 2,063 Integra Bank Corp. 98,266 2,058 * I-many, Inc. 213,200 2,057 * ANSYS, Inc. 83,400 2,056 * Pixelworks, Inc. 128,000 2,056 * SONICblue Inc. 508,000 2,052 Inter-Tel, Inc. 106,600 2,049 * Genlyte Group, Inc. 68,700 2,045 Schweitzer-Mauduit International, Inc. 86,000 2,043 American States Water Co. 58,400 2,041 * American Healthways Inc. 63,850 2,039 Pioneer Standard Electronics Inc. 160,050 2,033 * JAKKS Pacific, Inc. 107,050 2,029 Kelly Services, Inc. Class A 92,500 2,025 * Pegasus Solutions Inc. 142,550 2,024 NBT Bancorp, Inc. 139,686 2,024 * Dollar Thrifty Automotive Group, Inc. 130,100 2,017 * The Dress Barn, Inc. 80,600 2,016 Russell Corp. 134,125 2,013 * MSCI, Inc. 85,600 2,007 * Zoll Medical Corp. 51,500 2,005 SWS Group, Inc. 78,693 2,003 PS Business Parks, Inc. REIT 63,400 1,997 Albany International Corp. 91,484 1,985 Franklin Electric, Inc. 24,200 1,984 * SERENA Software, Inc. 91,200 1,983 Walter Industries, Inc. 175,200 1,982 Kaman Corp. Class A 127,000 1,981 Mine Safety Appliances Co. 49,300 1,979 * Genta Inc. 138,600 1,972
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==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Heidrick & Struggles International, Inc. 108,600 1,971 Lance, Inc. 137,607 1,966 * SPS Technologies, Inc. 56,200 1,963 * The Yankee Candle Company, Inc. 86,500 1,960 Bedford Property Investors, Inc. REIT 87,100 1,960 * Caliper Technologies Corp. 125,400 1,957 Central Parking Corp. 99,500 1,954 * The Gymboree Corp. 163,800 1,954 Nash-Finch Co. 62,800 1,953 * Pre-Paid Legal Services, Inc. 89,100 1,951 Anchor Bancorp Wisconsin Inc. 109,800 1,948 AMLI Residential Properties Trust REIT 77,200 1,947 * Three-Five Systems, Inc. 122,300 1,946 * Esterline Technologies Corp. 121,500 1,945 * Speedway Motorsports, Inc. 76,700 1,939 * ArQule, Inc. 114,000 1,938 * Martek Biosciences Corp. 89,000 1,936 * Sotheby's Holdings Class A 116,500 1,935 Independent Bank Corp. 69,530 1,933 * ProBusiness Services, Inc. 102,500 1,927 * Echelon Corp. 136,000 1,926 * Ultratech Stepper, Inc. 116,400 1,923 Hudson River Bancorp. Inc. 87,400 1,914 * Paxson Communications Corp. 182,800 1,910 * Houston Exploration Co. 56,800 1,907 * Rudolph Technologies, Inc. 55,500 1,905 * The Wet Seal, Inc. Class A 80,850 1,904 Tennant Co. 51,300 1,903 * General Communication, Inc. 223,100 1,903 * Learning Tree International, Inc. 68,000 1,897 * Gardner Denver Inc. 84,800 1,893 First Sentinel Bancorp Inc. 151,140 1,892 Hancock Holding Co. 43,907 1,890 * Financial Federal Corp. 60,450 1,889 NUI Corp. 79,700 1,889 * Integrated Silicon Solution, Inc. 154,200 1,887 Suffolk Bancorp 34,400 1,877 * Digene Corp. 63,500 1,873 * First Horizon Pharmaceutical Corp. 63,700 1,872 Student Loan Corp. 23,200 1,870 * Corinthian Colleges, Inc. 45,600 1,865 IRT Property Co. REIT 175,698 1,862 First Financial Bankshares, Inc. 61,787 1,860 First Financial Holdings, Inc. 76,900 1,859 * Universal Compression Holdings, Inc. 63,000 1,858 * Intrado Inc. 69,300 1,857 * Atwood Oceanics, Inc. 53,200 1,854 * Systems & Computer Technology Corp. 179,300 1,854 * Molecular Devices Corp. 88,700 1,851 * Robert Mondavi Corp. Class A 48,700 1,851 * Per-Se Technologies, Inc. 171,916 1,848 * Nautica Enterprises, Inc. 144,414 1,847 * Knight Transportation, Inc. 98,175 1,844 PFF Bancorp, Inc. 66,700 1,841 * Sipex Corp. 143,100 1,839 * Alliance Semiconductor Corp. 152,100 1,837 Applied Industrial Technology, Inc. 98,400 1,835 * Artesyn Technologies, Inc. 197,056 1,835 * Orasure Technologies, Inc. 150,800 1,832 * Parker Drilling Co. 496,300 1,831 * FTI Consulting, Inc. 55,800 1,830 * Integra LifeSciences Holdings 69,300 1,825 PMA Capital Corp. Class A 94,411 1,822 * Offshore Logistics, Inc. 102,500 1,820 * Cognizant Technology Solutions Corp. 44,400 1,820 * Peregrine Pharmaceuticals, Inc. 529,100 1,815 * Pericom Semiconductor Corp. 124,900 1,811 * Bright Horizons Family Solutions, Inc. 64,700 1,811 * IDT Corp. CLass B 108,800 1,807 * RadiSys Corp. 91,800 1,805 * Wilson Greatbatch Technologies, Inc. 49,900 1,801 * Moog Inc. 82,450 1,797 * US Unwired Inc. 176,400 1,796 * MTR Gaming Group Inc. 112,100 1,794 * Duane Reade Inc. 59,000 1,791 * Electroglas, Inc. 121,200 1,790 * RailAmerica, Inc. 123,700 1,789 Lexington Corporate Properties Trust REIT 115,400 1,789 * BioMarin Pharmaceutical Inc. 132,900 1,786 * CoStar Group, Inc. 74,220 1,782 * Sequenom, Inc. 165,600 1,767 * Federal Agricultural Mortgage Corp. 43,600 1,766 * The Profit Recovery Group International, Inc. 216,550 1,765 * Ocwen Financial Corp. 208,100 1,765 Wabtec Corp. 143,456 1,765 * Lightbridge, Inc. 145,193 1,764 * Intuitive Surgical, Inc. 175,800 1,763 Alabama National BanCorporation 52,300 1,763 National Health Investors REIT 119,000 1,761 * Pharmacopeia, Inc. 126,600 1,758 * EMCORE Corp. 130,600 1,757 * Hovnanian Enterprises Class A 82,500 1,756
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==================================================================================================================== Market Value* Shares (000) - -------------------------------------------------------------------------------------------------------------------- * Vastera, Inc. 105,600 1,754 * O'Charley's Inc. 94,700 1,753 Pennsylvania REIT 75,500 1,752 * Crown Cork & Seal Co., Inc. 688,900 1,750 * MedQuist, Inc. 59,711 1,747 Senior Housing Properties Trust REIT 125,500 1,746 Community Bank System, Inc. 66,600 1,745 * Silicon Laboratories Inc. 51,700 1,743 * Universal American Financial Corp. 256,600 1,742 Tredegar Corp. 91,700 1,742 * Ivex Packaging Corp. 91,500 1,739 Burlington Coat Factory Warehouse Corp. 103,440 1,738 * deCODE Genetics, Inc. 177,200 1,737 Dimon Inc. 241,000 1,735 Chemed Corp. 51,100 1,732 R.L.I. Corp. 38,350 1,726 First Financial Corp. 39,300 1,723 * Triarc Cos., Inc. Class A 70,800 1,720 Mid-America Bancorp 51,959 1,720 * Advanced Tissue Sciences Inc. 394,300 1,719 * MB Financial, Inc. 63,195 1,718 * Possis Medical Inc. 98,500 1,716 Town & Country Trust REIT 81,800 1,710 * Alloy, Inc. 79,300 1,707 American Woodmark Corp. 31,700 1,704 * Guilford Pharmaceuticals, Inc. 141,900 1,703 * Acclaim Entertainment Inc. 320,900 1,701 Talx Corp. 67,970 1,698 * PRAECIS Pharmaceuticals Inc. 290,800 1,692 Glacier Bancorp, Inc. 81,200 1,691 * The Children's Place Retail Stores, Inc. 62,000 1,683 Connecticut Bancshares, Inc. 65,100 1,683 * Theragenics Corp. 170,300 1,679 * Steel Dynamics, Inc. 144,500 1,678 * Net.B@nk, Inc. 159,600 1,673 * Kana Software, Inc. 85,648 1,667 AREA Bancshares Corp. 85,600 1,667 Rollins, Inc. 83,300 1,666 Vesta Insurance Group, Inc. 207,700 1,662 RFS Hotel Investors, Inc. REIT 145,400 1,655 * Telik, Inc. 122,500 1,654 M/I Schottenstein Homes, Inc. 33,200 1,652 * Shuffle Master, Inc. 105,380 1,651 * The TriZetto Group, Inc. 125,800 1,650 * VidaMed, Inc. 209,900 1,641 Entertainment Properties Trust REIT 84,800 1,641 Landry's Restaurants, Inc. 87,900 1,639 * Proton Energy Systems, Inc. 197,900 1,633 * Texas Biotechnology Corp. 250,400 1,628 * NCI Building Systems, Inc. 91,700 1,623 * NeoPharm, Inc. 64,740 1,622 * Remington Oil & Gas Corp. 93,700 1,621 Pacific Northwest Bancorp 79,200 1,620 * La Jolla Pharmaceutical Co. 181,100 1,619 Carbo Ceramics Inc. 41,300 1,617 * Avid Technology, Inc. 133,100 1,617 * Roxio, Inc. 97,500 1,614 * BankUnited Financial Corp. 108,500 1,611 North Pittsburgh Systems, Inc. 87,000 1,610 Advanced Marketing Services 87,850 1,603 * AXT, Inc. 111,000 1,602 * Versicor, Inc. 78,700 1,602 Curtiss-Wright Corp. 33,500 1,600 * Luminex Corp. 94,300 1,599 * Genuity Inc. 1,012,000 1,599 Universal Health Realty Income REIT 68,000 1,598 * NaPro BioTherapeutics, Inc. 140,100 1,597 * Rightchoice Managed Care, Inc. 22,800 1,596 Spartech Corp. 77,600 1,595 Calgon Carbon Corp. 190,800 1,593 * SpeechWorks International Inc. 141,600 1,593 Strayer Education, Inc. 32,650 1,591 Parkway Properties Inc. REIT 47,900 1,590 * SeeBeyond Technology Corp. 163,800 1,589 The Stride Rite Corp. 242,500 1,588 * Global Sports, Inc. 79,600 1,588 * Trammell Crow Co. 135,450 1,585 * Proxim, Inc. 159,607 1,583 F & M Bancorp 62,159 1,582 * Presstek, Inc. 172,500 1,582 * Forrester Research, Inc. 78,500 1,581 * ScanSource, Inc. 33,200 1,580 * Mattson Technology, Inc. 179,200 1,579 * Cadiz Inc. 196,500 1,576 Russ Berrie and Co., Inc. 52,500 1,575 * Seitel, Inc. 115,600 1,572 * Ventana Medical Systems, Inc. 69,500 1,572 Landauer, Inc. 46,400 1,571 Deltic Timber Corp. 57,300 1,570 * SpectraLink Corp. 91,600 1,569 * Phoenix Technologies Ltd. 134,700 1,568 BankAtlantic Bancorp, Inc. Class A 170,766 1,568 * Pure Resources, Inc. 77,900 1,566 Penn Virginia Corp. 45,900 1,565 * Energy Conversion Devices, Inc. 82,500 1,565 * Fossil, Inc. 74,500 1,565 Arctic Cat, Inc. 92,000 1,564 * NTELOS Inc. 100,700 1,560 Kramont Realty Trust REIT 106,800 1,559 * The Ackerley Group, Inc. 89,100 1,559
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======================================================================= ============================================= Market Value* Small-Cap Index Fund Shares (000) - --------------------------------------------------------------------------------------------------------------------- * Western Multiplex Corp. 288,690 1,559 * Headwaters Inc. 136,000 1,559 Methode Electronics, Inc. Class A 194,600 1,557 * 7-Eleven, Inc. 132,900 1,556 * Penwest Pharmaceuticals Co. 77,600 1,556 Independent Bank Corp. 72,400 1,556 * First Consulting Group, Inc. 99,400 1,556 * Clark/Bardes Inc. 61,600 1,554 * Young Broadcasting Inc. 86,500 1,553 EDO Corp. 58,700 1,553 Brown Shoe Company, Inc. 95,600 1,553 Sterling Financial Corp. 63,700 1,552 Omnova Solutions Inc. 227,800 1,549 * Finish Line, Inc. 101,100 1,546 West Pharmaceutical Services, Inc. 58,094 1,545 * TRC Cos., Inc. 30,900 1,545 * AFC Enterprises, Inc. 54,400 1,544 * Local Financial Corp. 110,300 1,543 First Merchants Corp. 64,145 1,541 * BE Avionics Inc. 167,700 1,538 * Sonosite, Inc. 59,800 1,536 Berry Petroleum Class A 97,600 1,532 * CoorsTek, Inc. 48,100 1,532 Lone Star Steakhouse & Saloon, Inc. 103,200 1,530 Omega Financial Corp. 47,500 1,527 First Source Corp. 73,756 1,527 Tompkins County Trustco, Inc. 37,900 1,525 U.S. Restaurant Properties, Inc. REIT 104,600 1,525 * Penn National Gaming, Inc. 50,200 1,523 * Casella Waste Systems, Inc. 102,600 1,520 Cato Corp. Class A 80,300 1,518 * ICU Medical, Inc. 34,100 1,517 * Southwestern Energy Co. 145,900 1,517 Haverty Furniture Cos., Inc. 91,600 1,516 JP Realty Inc. REIT 63,500 1,511 * Ultimate Electronics, Inc. 50,200 1,506 * Isle of Capri Casinos, Inc. 112,500 1,505 Conestoga Enterprises, Inc. 46,800 1,495 * AnswerThink Consulting Group, Inc. 228,500 1,492 SCPIE Holdings Inc. 51,000 1,492 * ShopKo Stores, Inc. 156,300 1,485 Cubic Corp. 28,900 1,484 * HotJobs.com Ltd. 142,800 1,484 First Federal Capital Corp. 94,500 1,484 * The Medicines Co. 127,700 1,480 Analogic Corp. 38,400 1,479 * Viewpoint Corp. 217,100 1,478 Sterling Bancorp 50,580 1,477 * WFS Financial, Inc. 61,466 1,476 * Playtex Products, Inc. 151,300 1,475 * American Physicians Capital, Inc. 67,774 1,474 * Spectrasite Holdings, Inc. 410,000 1,472 * Pemstar Inc. 122,600 1,471 * Silgan Holdings, Inc. 56,000 1,465 ChemFirst Inc. 61,100 1,465 * UNOVA, Inc. 252,400 1,464 Interface, Inc. 260,300 1,460 Fidelity Bankshares, Inc. 91,400 1,460 * Avanir Pharmaceuticals Cl-A 342,600 1,459 Farmers Capital Bank Corp. 39,700 1,456 * Factory 2-U Stores Inc. 72,600 1,455 * First Republic Bank 60,200 1,454 Ameron International Corp. 21,000 1,453 CT Communications, Inc. 87,900 1,451 * TETRA Technologies, Inc. 69,000 1,446 Milacron Inc. 91,377 1,445 * American Superconductor Corp. 117,600 1,442 Dover Downs Entertainment, Inc. 94,000 1,438 * Buckeye Technology, Inc. 124,900 1,436 * Triad Guaranty, Inc. 39,500 1,433 Phillips-Van Heusen Corp. 131,000 1,428 Interpool, Inc. 74,150 1,427 First Place Financial Corp. 90,600 1,427 * Therma-Wave Inc. 95,200 1,420 McGrath Rent Corp. 37,800 1,418 LSI Industries Inc. 81,300 1,415 * Endo Pharmaceuticals Holdings, Inc. 121,165 1,414 * Stewart Information Services Corp. 71,500 1,412 * Nuance Communications Inc. 154,900 1,410 * Impax Laboratories, Inc. 104,500 1,404 The Marcus Corp. 99,200 1,404 * Citizens, Inc. 110,900 1,403 * National Western Life Insurance Co. Class A 12,600 1,401 * Vical, Inc. 114,400 1,400 Cascade Natural Gas Corp. 63,500 1,400 * Titan Pharmaceuticals, Inc. 142,700 1,400 * Steak n Shake Company 126,799 1,400 The Standard Register Co. 75,500 1,399 * Xicor, Inc. 125,800 1,396 * aai Pharma, Inc. 55,400 1,394 Universal Forest Products, Inc. 66,500 1,392 * Atlas Air Worldwide Holdings, Inc. 95,000 1,392 Ryerson Tull, Inc. 126,147 1,388 * Rent-A-Center, Inc. 41,300 1,386 * SuperGen, Inc. 96,800 1,386 * Amerco, Inc. 73,620 1,386 Standex International Corp. 63,700 1,385
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==================================================================================================================== Market Value* Shares (000) - ---------------------------------------------------------------------------------------- First Community Bancshares, Inc. 47,000 1,385 Equity Inns, Inc. REIT 209,200 1,385 Community Trust Bancorp Inc. 58,300 1,385 * AVANT Immunotherapeutics, Inc. 345,000 1,383 * Magnum Hunter Resources Inc. 166,100 1,379 Watsco, Inc. 97,050 1,378 * ChipPAC, Inc. 185,700 1,378 * Universal Electronics, Inc. 80,000 1,377 * Antigenics, Inc. 83,800 1,374 CNA Surety Corp. 88,600 1,373 * Key Production Company, Inc. 80,700 1,372 * FSI International, Inc. 148,600 1,370 * Zomax Inc. 171,200 1,368 * Skechers U.S.A., Inc. 93,500 1,367 Sturm, Ruger & Co., Inc. 114,000 1,366 * Cytogen Corp. 453,700 1,366 * Gabelli Asset Management Inc. 31,600 1,365 Engineered Support Systems, Inc. 39,882 1,364 * Renaissance Learning, Inc. 44,700 1,362 * National Processing, Inc. 41,900 1,362 Thor Industries, Inc. 36,600 1,356 * American Axle & Manufacturing Holdings, Inc. 63,400 1,355 * CSK Auto Corp. 136,200 1,355 * Endocare, Inc. 75,400 1,352 * Chordiant Software, Inc. 170,500 1,349 Wintrust Financial Corp. 44,109 1,348 * ABIOMED, Inc. 85,000 1,345 * PLATO Learning, Inc. 80,866 1,343 * Orchid Biosciences 243,700 1,340 New England Business Service, Inc. 69,900 1,339 * Avigen, Inc. 116,200 1,337 * Playboy Enterprises, Inc. Class B 79,100 1,336 Connecticut Water Services, Inc. 45,150 1,335 * Spartan Stores, Inc. 111,600 1,335 * J. Jill Group, Inc. 61,900 1,333 Brush Engineered Materials Inc. 93,200 1,327 * Somera Communications, Inc. 175,700 1,327 * Nortek, Inc. 47,500 1,325 * Zygo Corp. 83,300 1,324 Pope & Talbot, Inc. 92,900 1,324 * Illumina, Inc. 112,450 1,322 * TBC Corp. 98,500 1,319 * SCM Microsystems, Inc. 89,955 1,317 * Conceptus, Inc. 55,800 1,317 Washington Trust Bancorp, Inc. 69,300 1,317 * Keynote Systems Inc. 140,800 1,316 GBC Bancorp 44,600 1,316 * Hydrill Co. 74,600 1,315 * Sinclair Broadcast Group, Inc. 139,000 1,315 United Community Financial Corp. 182,300 1,313 AAR Corp. 145,500 1,311 Saul Centers, Inc. REIT 61,400 1,311 Zenith National Insurance Corp. 46,900 1,310 * United Natural Foods, Inc. 52,400 1,310 * Merix Corp. 75,900 1,309 * Kroll Inc. 86,700 1,309 * Inspire Pharmaceuticals, Inc. 92,900 1,309 Kansas City Life Insurance Co. 35,260 1,308 * Information Resources, Inc. 157,600 1,308 * Caminus Corp. 56,800 1,306 * Guitar Center, Inc. 95,700 1,305 * Arena Pharmaceuticals, Inc. 108,200 1,302 * AMC Entertainment, Inc. 108,300 1,300 Watts Industries Class A 86,500 1,298 * Biosite Inc. 70,500 1,295 Peoples Holding Co. 35,000 1,295 * Actuate Software Corp. 245,400 1,293 Simmons First National 40,200 1,292 CityBank Lynnwood WA 53,900 1,291 * XM Satellite Radio Holdings, Inc. 70,300 1,291 * Indus International, Inc. 176,800 1,291 * Actrade Financial Technologies, Ltd. 43,700 1,287 Innkeepers USA Trust REIT 131,300 1,287 Mississippi Valley Bancshares, Inc. 32,700 1,282 West Coast Bancorp 92,000 1,281 Old Second Bancorp, Inc. 32,470 1,280 * Covanta Energy Corp. 283,100 1,280 * MIPS Technologies, Inc. Class B 160,217 1,279 * Acacia Research Corp. 115,390 1,277 * Advanced Neuromodulation Systems, Inc. 36,200 1,276 Aaron Rents, Inc. Class B 78,200 1,275 * DigitalThink, Inc. 118,000 1,274 * Standard Microsystem 82,000 1,273 * PLX Technology, Inc. 100,600 1,269 USG Corp. 221,600 1,268 * Biopure Corp. 89,200 1,268 * Astec Industries, Inc. 87,600 1,267 * Array BioPharma Inc. 85,100 1,265 * Durect Corp. 109,100 1,264 * Aphton Corp. 86,600 1,264 BSB Bancorp, Inc. 53,250 1,263 Myers Industries, Inc. 92,323 1,260 * Allen Telecom Inc. 148,160 1,259 Farmer Brothers, Inc. 4,750 1,259 CFS Bancorp, Inc. 87,700 1,258 * Navigant Consulting, Inc. 228,400 1,256
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=============================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------- Herbalife International Class A 88,200 1,254 * FalconStor Software, Inc. 138,300 1,253 Bank of Granite Corp. 63,363 1,253 * Neurogen Corp. 71,600 1,252 * Urologix, Inc. 62,400 1,251 Hickory Tech Corp. 73,700 1,249 United Industrial Corp. 74,500 1,248 * IDX Systems Corp. 95,880 1,247 * MetaSolv, Inc. 158,900 1,247 Advanta Corp. Class A 125,480 1,247 * Planar Systems, Inc. 59,100 1,247 * Labor Ready, Inc. 243,986 1,247 * Active Power, Inc. 183,200 1,246 * Mesa Air Group Inc. 165,500 1,245 * CDI Corp. 65,500 1,245 * DuPont Photomasks, Inc. 28,600 1,243 CPB, Inc. 42,200 1,241 * CorVel Corp. 37,800 1,238 Gold Banc Corp., Inc. 173,800 1,236 * Aspect Communications Corp. 318,000 1,234 * Sykes Enterprises, Inc. 131,900 1,232 * Nuevo Energy Co. 82,100 1,232 * Range Resources Corp. 270,500 1,231 K-Swiss, Inc. 37,000 1,230 Hancock Fabrics, Inc. 93,500 1,230 * SBS Technologies, Inc. 84,300 1,228 * Register.com, Inc. 106,800 1,228 * Embarcadero Technologies, Inc. 50,600 1,225 * ViaSat, Inc. 78,200 1,220 * Aether Systems, Inc. 132,400 1,218 Crossman Communities, Inc. 36,900 1,218 * Novavax, Inc. 86,300 1,217 * Internet Capital Group, Inc. 1,004,800 1,216 * City Holding Co. 100,800 1,214 Bel Fuse, Inc.- Class B 48,300 1,210 * Del Monte Foods Co. 141,800 1,207 Reckson Associates Realty Corp. Class B REIT 47,256 1,206 MTS Systems Corp. 119,000 1,203 * Dyax Corp. 109,600 1,202 UNB Corp. 64,700 1,200 * Vasomedical, Inc. 324,000 1,199 * Wackenhut Corp. 48,300 1,198 * Stein Mart, Inc. 143,200 1,197 * Prima Energy Corp. 54,950 1,195 Mid Atlantic Realty Trust REIT 76,800 1,194 * Silicon Image, Inc. 317,400 1,193 Capstead Mortgage Corporation 50,700 1,191 * Portal Software, Inc. 569,900 1,185 * Daisytek International Corp. 89,900 1,184 * Championship Auto Racing Teams, Inc. 73,500 1,183 CCBT Financial Cos. Inc. 50,100 1,182 * Buca, Inc. 72,900 1,182 * DVI, Inc. 68,600 1,180 * Watson Wyatt & Company Holdings 54,100 1,179 * RTI International Metals 118,400 1,178 Centex Construction Products,Inc. 36,700 1,176 * Insignia Financial Group, Inc. 108,900 1,176 * 3Tec Energy Corp. 84,000 1,176 Lindsay Manufacturing Co. 60,595 1,173 First Indiana Corp. 53,420 1,170 * Applied Molecular Evolution 94,950 1,169 A.O. Smith Corp. 59,900 1,168 * Vans, Inc. 91,500 1,166 * Boyd Gaming Corp. 179,100 1,164 State Auto Financial Corp. 71,500 1,161 * MapInfo Corp. 73,950 1,160 Glatfelter 74,200 1,156 * JNI Corp. 139,100 1,156 Community Banks, Inc. 42,700 1,153 * Dobson Communications Corp. 134,900 1,152 * Trans World Entertainment Corp. 151,250 1,150 * Digimarc Corp. 61,800 1,148 * CardioDynamics International Corp. 173,400 1,146 * Centillium Communications, Inc. 145,800 1,146 * Crown Media Holdings, Inc. 101,400 1,145 * Sierra Health Services 140,900 1,141 * EPIQ Systems, Inc. 58,950 1,141 * Aware, Inc. 137,300 1,140 Skyline Corp. 35,300 1,138 Flushing Financial Corp. 63,900 1,137 * Salem Communications Corp. 49,400 1,136 * Universal Access Global Holdings Inc. 242,100 1,135 * Trendwest Resorts, Inc. 44,800 1,134 Penn Engineering & Manufacturing Corp. 67,700 1,134 * QRS Corp. 80,400 1,134 * Saga Communications, Inc. 54,700 1,132 Mission West Properties Inc. REIT 88,900 1,131 Cash America International Inc. 133,012 1,131 * New Focus, Inc. 296,200 1,129 Investors Real Estate Trust REIT 119,900 1,127 Oriental Financial Group Inc. 60,566 1,127 Great Lakes, Inc. REIT 70,400 1,126 * Cell Pathways, Inc. 161,800 1,126 Valmont Industries, Inc. 77,700 1,124 * Artisan Components, Inc. 71,000 1,122 * infoUSA Inc. 161,600 1,122 Westcorp, Inc. 60,044 1,121
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==================================================================================================================== Market Value* Shares (000) - ------------------------------------------------------------------------------------------------------------------- * Kendle International Inc. 55,600 1,121 * PolyMedica Corp. 67,500 1,121 First Essex Bancorp, Inc. 39,700 1,119 Financial Institutions, Inc. 47,700 1,116 Semco Energy Inc. 103,385 1,111 Brookline Bancorp, Inc. 67,600 1,111 Second Bancorp, Inc. 51,200 1,106 BEI Technologies, Inc. 63,400 1,106 * Corvas International, Inc. 168,400 1,103 * Electro Rent Corp. 85,458 1,102 * Genzyme Corp.- Genzyme Biosurgery 207,121 1,100 Vital Signs, Inc. 31,500 1,099 OceanFirst Financial Corp. 45,500 1,099 * Red Hat, Inc. 154,500 1,097 * McAfee.com Corp. 32,300 1,095 * Concord Camera Corp. 138,200 1,095 * dELiA*s Inc. 176,500 1,094 * Curis, Inc. 195,000 1,094 Umpqua Holdings Corp. 81,000 1,094 Getty Realty Holding Corp. 58,000 1,093 FBL Financial Group, Inc. Class A 65,411 1,091 S.Y. Bancorp, Inc. 32,700 1,089 * TriPath Imaging, Inc. 144,500 1,088 * Art Technology Group, Inc. 312,600 1,088 * Sports Resorts International, Inc. 140,700 1,085 Gorman-Rupp Co. 40,400 1,085 * Symmetricom Inc. 142,500 1,084 * Trico Marine Services, Inc. 143,500 1,083 Central Vermont Public Service Corp. 64,800 1,082 BancFirst Ohio Corp. 44,800 1,082 * U.S. Industries, Inc. 422,300 1,081 Cleveland-Cliffs Iron Co. 59,000 1,080 * Rainbow Technologies, Inc. 145,700 1,078 * Oplink Communications, Inc. 569,100 1,073 Riggs National Corp. 76,000 1,062 * Brightpoint, Inc. 336,825 1,058 RPC Inc. 59,900 1,057 * Encompass Services Corp. 364,345 1,057 Century Aluminum Co. 79,000 1,055 * Octel Corp. 58,600 1,055 * Integral Systems, Inc. 54,732 1,054 Lakeland Bancorp, Inc. 64,365 1,049 * Bell Microproducts Inc. 83,000 1,047 Robbins & Myers, Inc. 44,678 1,046 * Urban Outfitters, Inc. 43,100 1,040 * Midwest Express Holdings, Inc. 71,200 1,040 * ParkerVision, Inc. 49,500 1,040 Commonwealth Bancorp 46,900 1,039 Coachmen Industries, Inc. 86,300 1,036 * 4Kids Entertainment Inc. 51,700 1,036 First Busey Corp. 48,200 1,035 * Magnatek 114,900 1,035 Oneida Ltd. 79,535 1,030 * Century Business Services, Inc. 447,400 1,029 * NMS Communications Corp. 212,900 1,026 * Aclara Biosciences, Inc. 202,300 1,026 U.S.B. Holding Co., Inc. 60,700 1,023 Banner Corp. 60,200 1,018 R & G Financial Corp. Class B 59,300 1,016 * BKF Capital Group, Inc. 35,400 1,016 * Maxim Pharmaceuticals, Inc. 147,100 1,015 * Movie Gallery, Inc. 41,600 1,013 Caraustar Industries, Inc. 146,000 1,012 * II-VI, Inc. 58,650 1,011 * Energy Partners, LTD. 133,600 1,009 Fisher Communications, Inc. 22,900 1,008 Midas Inc. 87,400 1,005 Port Financial Corp. 38,500 1,004 * Avanex Corp. 170,100 1,004 Seacoast Banking Corp. of Florida Class A 21,600 1,002 * PDI, Inc. 44,900 1,002 * Insurance Auto Auctions, Inc. 69,000 1,001 * Semitool, Inc. 86,800 996 United Fire & Casualty Co. 34,800 996 Baldwin & Lyons, Inc. Class B 38,900 996 * Columbia Banking System, Inc. 76,231 995 * Kadant Inc. 68,600 995 Southern Peru Copper Corp. 83,200 994 * Genencor International Inc. 62,200 993 Gerber Scientific, Inc. 106,700 992 Arrow Financial Corp. 33,985 992 Wabash National Corp. 126,900 990 Woodhead Industries, Inc. 62,300 989 First Niagara Financial Group, Inc. 58,700 988 * Radiant Systems, Inc. 85,900 988 * Tejon Ranch Co. 41,299 987 Bank Mutual Corp. 64,620 987 * AVI BioPharma, Inc. 90,300 986 Garan, Inc. 23,200 986 * Kos Pharmaceuticals, Inc. 28,400 983 * Dendreon Corp. 97,300 980 Capital City Bank Group, Inc. 40,400 979 * Celeritek, Inc. 73,100 979 * United Therapeutics Corp. 93,800 976 * SPSS, Inc. 55,000 976 * Bone Care International, Inc. 56,900 975 Redwood Trust, Inc. REIT 40,200 974 St. Francis Capital Corp. 42,100 974 * Packeteer, Inc. 132,100 974 SJW Corp. 11,400 972 Holly Corp. 50,500 972
29
==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------------------------- Crown American Realty Trust REIT 124,500 971 * Chiles Offshore, Inc. 48,500 965 * Clarent Corp. 179,600 964 * Centra Software, Inc. 120,500 964 * Mastec Inc. 138,400 962 Santander BanCorp 49,490 961 * Integrated Electrical Services, Inc. 187,400 959 * Consolidated Graphics, Inc. 49,800 959 * Syntroleum Corp. 134,900 958 UniFirst Corp. 42,300 954 * Geron Corp. 109,500 953 Iberia Bank Corp. 34,200 948 Midland Co. 21,600 946 Irwin Financial Corp. 55,500 944 Rock-Tenn Co. 65,460 943 * Sequa Corp. Class A 19,800 941 * Wild Oats Markets Inc. 94,700 940 * Right Management Consultants, Inc. 54,300 939 * Lynch Interactive Corp. 13,600 938 * Encore Wire Corp. 76,700 928 * Resources Connection, Inc. 35,200 927 * LodgeNet Entertainment Corp. 54,140 925 * Nu Horizons Electronics Corp. 89,900 924 Pennfed Financial Services, Inc. 37,200 923 * Research Frontiers, Inc. 55,000 922 * EXE Technologies, Inc. 181,000 921 Standard Commercial Tobacco Co. 55,800 921 * Applica Inc. 102,167 921 * Option Care, Inc. 46,900 917 Main Street Banks, Inc. 55,900 917 Movado Group, Inc. 47,700 916 * Cole National Corp. Class A 55,200 914 * Internap Network Services Corp. 785,100 911 * Startek, Inc. 47,900 908 Centennial Bancorp 122,961 907 * Genome Therapeutics Corp. 133,100 906 * Covansys Corp. 101,100 905 * Tuesday Morning Corp. 50,000 905 Prosperity Bancshares, Inc. 33,500 904 * Pharmacyclics, Inc. 90,900 904 * MEMC Electronic Materials, Inc. 254,400 903 Middlesex Water Co. 26,600 902 * Wireless Facilities, Inc. 133,900 901 * OTG Software, Inc. 90,100 901 AMCOL International Corp. 124,650 897 * Elizabeth Arden, Inc. 58,600 895 Pilgrim's Pride Corp. 65,900 893 * World Wrestling Federation Entertainment, Inc. 67,700 890 * Dril-Quip, Inc. 36,800 887 Quaker Chemical Corp. 43,000 886 Great Southern Bancorp, Inc. 28,900 881 * Flow International Corp. 71,100 880 * Kforce Inc. 139,657 878 * Synplicity, Inc. 65,040 877 * Key3Media Group, Inc. 164,600 877 * Meritage Corp. 17,100 877 * Comstock Resources, Inc. 125,200 876 HEICO Corp. 58,100 876 Stepan Co. 36,000 874 * Esperion Therapeutics, Inc. 118,900 874 * Lydall, Inc. 86,800 868 * Rural Cellular Corp. Class A 39,000 868 * Rent-Way, Inc. 144,700 867 * Quicksilver Resources, Inc. 45,400 865 * ITXC Corp. 120,200 864 * Martha Stewart Living Omnimedia, Inc. 52,500 864 * Virage Logic Corporation 44,900 863 * Microvision, Inc. 60,600 863 Resource America, Inc. 92,300 862 * United Auto Group, Inc. 33,400 862 * Handspring, Inc. 127,700 861 Ambassadors International, Inc. 41,000 861 * Excel Technology, Inc. 49,400 860 * Magellan Health Services, Inc. 135,200 859 * Dura Automotive Systems, Inc. 78,035 858 * Boston Beer Co., Inc. Class A 49,900 856 WSFS Financial Corp. 49,229 854 * Cygnus Inc. 162,300 852 Penton Media, Inc. Class A 136,000 851 * Avici Systems Inc. 292,200 850 * Volt Information Sciences Inc. 49,700 850 * Nanometrics Inc. 43,600 846 Roanoke Electric Steel Corp. 61,100 843 * Boston Communications Group, Inc. 74,000 840 * Magna Entertainment Corp. - Class A 119,700 838 * ARIAD Pharmaceuticals, Inc. 157,200 838 * J & J Snack Foods Corp. 34,200 836 NBC Capital Corp. 27,100 832 Capital Transamerica Corp. 50,500 831 N L Industries, Inc. 54,400 831 * WatchGuard Technologies, Inc. 127,400 829 * Med-Design Corp. 42,000 827 * Supertex, Inc. 47,100 825 CIRCOR International, Inc. 44,600 823 * Vail Resorts Inc. 46,400 823 * The Buckle, Inc. 36,800 821 * Witness Systems, Inc. 61,600 821 * PC-Tel, Inc. 84,500 820 * Recoton Corp. 60,300 820 Lawson Products, Inc. 31,500 819
30
==================================================================================================================== Market Value* Shares (000) - ----------------------------------------------------------------------------------------------------------------- First Bancorp North Carolina 36,200 816 * Pain Therapeutics, Inc. 89,100 816 * LeCroy Corp. 44,800 815 * Miravant Medical Technologies 84,800 815 BancFirst Corp. 23,458 814 National Presto Industries, Inc. 29,300 813 LaSalle Hotel Properties REIT 68,800 808 * Pomeroy Computer Resources, Inc. 59,700 806 * I-STAT Corp. 102,100 806 * Oil States International, Inc. 88,400 804 * Organogenesis, Inc. 167,591 804 Nature's Sunshine Inc. 68,300 802 * Orbital Sciences Corp. 193,100 798 * Aviall Inc. 105,500 797 * Siliconix, Inc. 29,000 795 * Lantronix, Inc. 125,790 795 * Progenics Pharmaceuticals, Inc. 43,000 794 * Aspect Medical Systems, Inc. 79,300 793 * Pharmos Corp. 337,400 793 * America West Holdings Corp. Class B 226,400 792 * Netro Corp. 215,300 790 * SoundView Technology Group, Inc. 338,600 789 * Navigant International, Inc. 68,900 789 * Transgenomic, Inc. 71,700 789 Boykin Lodging Co. REIT 98,800 787 * Building Materials Holding Corp. 72,400 786 * PICO Holdings, Inc. 62,700 784 Flagstar Bancorp, Inc. 38,900 783 Associated Estates Realty Corp. REIT 85,200 782 * Select Medical Corp. 48,600 781 Northwest Bancorp, Inc. 68,300 781 * Closure Medical Corp. 33,300 778 * Regent Communications, Inc. 115,000 776 * Visual Networks, Inc. 167,884 776 * Regeneration Technologies, Inc. 76,000 774 X-Rite Inc. 91,000 774 German American Bancorp 47,775 774 * Specialty Laboratories, Inc. 28,100 772 * MemberWorks, Inc. 55,100 772 Oxford Industries, Inc. 32,700 772 NN, Inc. 69,100 770 * Alexander's, Inc. REIT 13,500 768 NCH Corp. 14,700 767 * Stamps.Com Inc. 214,100 766 Coastal Bancorp, Inc. 26,300 760 * Saba Software, Inc. 145,600 760 * Lithia Motors, Inc. 36,700 760 * The Meridian Resource Corp. 189,744 757 * Armstrong Holdings, Inc. 222,000 757 * NS Group Inc. 101,200 757 * New Century Financial Corp. 55,800 755 * Audiovox Corp. 101,200 755 * Trikon Technologies, Inc. 64,100 753 * Stanley Furniture Company, Inc. 31,600 751 * Scientific Games Corp 85,800 751 * Green Mountain Coffee, Inc. 27,400 750 Lufkin Industries 28,000 750 * ONYX Software Corp. 192,200 750 * CompuCredit Corp. 63,700 749 * Novadigm, Inc. 78,900 749 * Denbury Resources, Inc. 102,300 748 * Catapult Communications Corp. 28,600 745 * Universal Display Corp. 81,800 744 * NetScout Systems, Inc. 93,900 743 * Kenneth Cole Productions, Inc. 41,950 743 * Triangle Pharmaceuticals, Inc. 184,400 739 * SITEL Corp. 307,700 738 * K2 Inc. 102,200 737 * Luby's, Inc. 128,600 734 Bassett Furniture Industries, Inc. 52,400 734 * eSPEED, Inc. 88,600 734 * OSCA, Inc. 35,175 733 * Osmonics, Inc. 52,300 733 * Ditech Communications Corp. 121,800 733 * Spectrian Corp. 66,100 729 * Novoste Corp. 83,400 729 Quixote Corp. 38,300 728 * Intelidata Technologies Corp. 256,800 727 * Mail-Well, Inc. 177,200 727 * 1-800-FLOWERS.COM, Inc. 46,500 725 * Multex.com Inc. 161,000 725 * EntreMed, Inc. 85,600 723 Pitt Des Moines, Inc. 23,300 722 * Steven Madden, Ltd. 51,300 722 * Micro General Corp. 52,600 721 * Hibbett Sporting Goods, Inc. 23,800 721 Butler Manufacturing Co. 26,000 720 * Trex Co., Inc. 37,900 720 * OPNET Technologies, Inc. 49,600 715 * hi/fn, inc. 49,300 713 * Rigel Pharmaceuticals, Inc. 153,300 713 * Xybernaut Corp. 299,500 713 * Central Coast Bancorp 32,400 713 * Selectica, Inc. 117,600 711 * MicroStrategy Inc. 184,400 710 * TiVo Inc. 108,300 709 * Friedman, Billings, Ramsey Group, Inc. 136,500 708 * Genzyme Transgenics Corp. 121,700 708 * Net2Phone, Inc. 104,784 707 * Wackenhut Corrections Corp. 50,900 705 * Vion Pharmaceuticals, Inc. 159,900 705 * Aurora Foods Inc. 139,600 705
31
==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Lexent Inc. 112,400 703 * Terra Industries, Inc. 200,200 701 Acadia Realty Trust REIT 110,000 699 * U.S. Concrete, Inc. 105,600 697 * PetroQuest Energy, Inc. 130,900 696 * 3D Systems Corp. 48,800 695 Ingles Markets, Inc. 57,700 690 * Credit Acceptance Corp. 77,200 687 * Quaker City Bancorp, Inc. 23,000 687 * Kosan Biosciences, Inc. 85,900 686 * Horizon Offshore, Inc. 90,700 684 * Pinnacle Entertainment, Inc. 113,300 683 * Support.com, Inc. 108,800 682 * Foamex International, Inc. 84,100 681 * Private Media Group, Inc. 69,400 680 * Wilsons The Leather Experts Inc. 59,600 680 * Ciphergen Biosystems, Inc. 84,900 679 Alico, Inc. 21,600 677 * Hollywood Casino Corp. 64,200 674 * CSS Industries, Inc. 21,800 674 * Paradigm Genetics, Inc. 118,100 673 * International Specialty Products, Inc. 75,100 672 * Metawave Communications Corp. 215,400 672 * Gulfmark Offshore, Inc. 23,700 671 * Infogrames, Inc. 94,420 669 * PriceSmart, Inc. 19,100 669 * Genzyme Molecular Oncology 83,400 667 * Digital Lightwave, Inc. 71,100 667 * Docent, Inc. 210,100 666 * DUSA Pharmaceuticals, Inc. 82,600 665 * TTM Technologies, Inc. 65,700 665 * Sanchez Computer Associates, Inc. 77,700 664 Great American Financial Resources, Inc. 35,400 664 CPI Corp. 39,900 662 * Valence Technology Inc. 196,300 662 Midwest Banc Holdings, Inc. 31,100 661 * ATS Medical, Inc. 124,600 660 * Turnstone Systems, Inc. 166,000 659 * America Online Latin America, Inc. 144,600 658 Friedman's, Inc. Class A 78,100 658 Liqui-Box Corp. 15,800 652 * Avatar Holding, Inc. 27,600 650 Troy Financial Corp. 26,200 650 * Stoneridge, Inc. 71,400 650 * Loudcloud, Inc. 152,100 645 * Cosine Communications, Inc. 415,800 644 * Oregon Steel Mills, Inc. 129,800 643 Tanger Factory Outlet Centers, Inc. REIT 30,700 640 * Gulf Island Fabrication, Inc. 51,000 638 * National Healthcare Corporation 41,500 638 * Smart & Final Inc. 61,000 637 Keystone Property Trust 48,600 636 Schawk, Inc. 57,600 634 * Performance Technologies, Inc. 47,500 633 * NetRatings, Inc. 40,200 630 * Wave Systems Corp. 281,300 630 Republic Bancorp, Inc. 46,700 630 Standard Motor Products, Inc. 45,300 630 * Insmed Incorporated 164,400 628 * Salton, Inc. 33,200 627 Gray Communications Systems, Inc. 45,100 626 * Allscripts Healthcare Solutions, Inc. 193,100 626 * Golden Telecom, Inc. 53,600 626 Seaboard Corp. 2,030 621 * Steinway Musical Instruments Inc. 37,100 616 * PC Connection, Inc. 41,450 615 * Daktronics, Inc. 72,600 613 * SkillSoft Corp. 23,600 612 * VaxGen, Inc. 52,600 610 * North American Scientific, Inc. 45,500 610 * Datastream Systems, Inc. 98,600 608 * Beasley Broadcast Group, Inc. 46,600 606 * Ulticom, Inc. 60,200 606 * Corillian Corp. 126,400 605 * Sangamo BioSciences, Inc. 64,800 605 * Powell Industries, Inc. 32,200 604 Winston Hotels, Inc. REIT 78,000 604 * Dynacq International, Inc. 27,100 604 * Covenant Transport, Inc. 37,100 592 * SciClone Pharmaceuticals, Inc. 197,300 592 * Prize Energy Corp. 25,600 592 Riviana Foods, Inc. 33,200 589 * Copper Mountain Networks, Inc. 348,386 589 * Targeted Genetics Corp. 214,000 580 * Valentis, Inc. 186,700 579 * RCN Corp. 197,200 578 * Impco Technologies Inc. 44,800 569 Keithley Instruments Inc. 33,600 568 * Carreker Corp. 96,200 568 Churchill Downs, Inc. 15,300 566 * Deltagen, Inc. 61,400 565 * Wesco International, Inc. 113,900 564 * Eden Bioscience Corp. 111,000 563 * MIPS Technologies, Inc. 65,100 562 * Manufacturers' Services Limited 89,700 561
32
==================================================================================================================== Market Value* Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Pozen Inc. 106,500 559 * Pumatech, Inc. 216,500 559 * Wolverine Tube, Inc. 49,200 558 Burnham Pacific Properties, Inc. REIT 134,800 555 Medallion Financial Corp. 70,300 555 * Ansoft Corp. 37,900 553 * CCC Information Services Group 89,377 552 * Earthshell Corp. 276,100 552 * ADE Corp. 55,100 551 Corporate Office Properties Trust, Inc. REIT 46,300 550 * World Acceptance Corp. 74,900 547 * Maxwell Technologies, Inc. 55,600 545 Gibraltar Steel 31,050 544 * Onyx Pharmaceuticals, Inc. 106,000 543 * Quaker Fabric Corp. 65,000 540 * Hyseq, Inc. 69,600 537 Sanderson Farms, Inc. 25,000 534 * Encore Acquisition Co. 40,100 534 Sauer-Danfoss, Inc. 66,400 531 CoBiz Inc. 39,100 528 * Centennial Communications Corp. Class A 50,900 521 * Genaissance Pharmaceuticals, Inc. 112,000 521 * Interland Inc. 245,100 517 * Boron, LePore & Associates, Inc. 37,500 517 * Global Imaging Systems, Inc. 34,600 517 Bush Industries, Inc. 47,100 512 * Columbia Laboratories Inc. 148,200 511 * Ladish Co., Inc. 46,800 511 * TransMontaigne Inc. 93,700 511 * Intertrust Technologies Corp. 409,200 503 * Inet Technologies, Inc. 47,600 503 * Crossroads Systems, Inc. 111,400 500 Provident Bancorp, Inc. 17,100 499 * Liberty Digital, Inc. 144,200 499 National Golf Properties, Inc. REIT 55,700 494 * Value City Department Stores, Inc. 105,000 494 * Auspex Systems, Inc. 273,600 492 * ResortQuest International, Inc. 103,000 490 * U.S. Physical Therapy, Inc. 30,300 490 * Computerized Thermal Imaging, Inc. 315,500 489 * Keryx Biopharmaceuticals, Inc. 66,600 486 * Consolidated Freightways Corp. 95,500 486 * H Power Corp. 155,400 485 * SignalSoft Corp. 107,800 482 * Peco II, Inc. 80,600 480 * Next Level Communications, Inc. 142,600 478 * Nanogen, Inc. 82,700 477 * Inverness Medical Innovations, Inc. 26,420 477 * Northfield Laboratories, Inc. 55,200 474 Deb Shops, Inc. 19,500 473 MicroFinancial Inc. 46,100 473 National Service Industries, Inc. 233,800 472 * Alaska Communications Systems Holdings, Inc. 59,100 471 * IXYS Corp. 58,200 471 * Lexar Media, Inc. 177,900 470 * Tropical Sportswear Int'l. Corp. 24,900 467 * Wyndham International, Inc. Class A 833,400 467 * Coldwater Creek Inc. 21,900 464 * Blue Martini Software, Inc. 154,100 464 * Measurement Specialties, Inc. 48,800 459 * VerticalNet, Inc. 325,600 456 * Digex, Inc. 151,500 453 * Mesaba Holdings, Inc. 63,150 450 * Catalytica Energy Systems, Inc. 97,819 447 * ACTV, Inc. 238,900 447 * MacroChem Corp. 146,300 446 * Sunrise Telecom Inc. 111,200 446 * VA Software Corp. 182,000 446 * BriteSmile, Inc. 88,500 443 * Hemispherx Biopharma, Inc. 97,800 440 * Millennium Cell Inc. 84,200 440 Medford Bancorp, Inc. 20,700 438 * KCS Energy, Inc. 140,000 437 * 1-800 CONTACTS, Inc. 35,109 437 * Callon Petroleum Co. 63,700 436 Value Line, Inc. 9,000 436 * McMoRan Exploration Co. 74,900 434 * LightPath Technologies, Inc. 121,900 433 * Perini Corp. 61,200 428 * Arden Group Inc. Class A 7,000 424 * Large Scale Biology Corp. 94,000 423 * Aksys, Ltd. 90,700 422 * Convera Corp. 125,700 421 * Management Network Group Inc. 60,700 419 * GenesisIntermedia Inc. 70,300 415 * SureBeam Corp. 39,600 415 * 3DO Co. 199,000 414 * Titanium Metals Corp. 103,200 412 * FiberCore, Inc. 170,200 408 * BSQUARE Corp. 97,300 406 * Clayton Williams Energy, Inc. 30,900 405 Spiegel, Inc. Class A 87,900 400 Florida East Coast Industries, Inc.- Class B 19,130 400 * Guess ?, Inc. 53,000 398
33
==================================================================================================================== Market Value* Small-Cap Index Fund Shares (000) - ------------------------------------------------------------------------------------------------ * Sirenza Microdevices, Inc. 65,200 397 * Hexcel Corp. 128,700 396 Westpoint Stevens, Inc. 161,100 395 * August Technology Corp. 35,600 393 Royal Bancshares of Pennsylvania, Inc. 19,500 393 SLI, Inc. 150,375 392 * bebe stores, inc. 21,000 392 * APAC Teleservices, Inc. 150,500 391 * Terremark Worldwide, Inc. 685,700 391 * Medis Technology Ltd. 52,900 389 * New Horizons Worldwide, Inc. 33,500 385 * ZixIt Corp. 76,100 385 * Simplex Solutions, Inc. 22,600 384 * ftd.com Inc. 54,700 383 * HealthExtras, Inc. 66,800 381 * Innovative Solutions and Support, Inc. 48,900 380 * Moldflow Corp. 26,500 379 * Syntel, Inc. 29,075 376 * Cobalt Corp. 58,000 370 * ON Semiconductor Corp. 178,000 368 * Revlon, Inc. Class A 54,600 364 * Genelabs Technologies, Inc. 196,300 363 * Ventiv Health, Inc. 99,100 363 * Third Wave Technologies 49,200 362 * ICT Group, Inc. 19,400 361* Applied Innovation Inc. 57,400 356 * Republic Bancshares, Inc. 27,200 354 * NATCO Group Inc. 50,500 354 * Brio Software, Inc. 121,400 350 * Harvard Bioscience, Inc. 34,800 346 CompX International Inc. 26,600 345 * Nanophase Technologies Corp. 58,400 344 * Ribozyme Pharmaceuticals, Inc. 74,500 340 * Maui Land & Pineapple Co., Inc. 14,100 339 * EEX Corp. 183,466 338 * SatCon Technology Corp. 64,600 336 * Align Technology, Inc. 74,200 334 * 3 Dimensional Pharmaceuticals 39,200 333 * Divine Inc. 448,300 332 * Ameristar Casinos, Inc. 13,200 331 A.M. Castle & Co. 40,300 330 * Metromedia International Group, Inc. 406,800 330 * Bethlehem Steel Corp. 730,991 329 * Mechanical Technology Inc. 120,000 329 * Sorrento Networks Corp. 90,300 324 * Uniroyal Technology Corp. 101,300 324 * CacheFlow Inc. 117,000 314 Prime Group Realty Trust REIT 33,700 311 * Mestek, Inc. 13,000 307 BMC Industries, Inc. 147,700 304 * WJ Communications, Inc. 83,300 304 * Xanser Corp. 149,500 300 * AEP Industries, Inc. 12,400 297 * Click Commerce, Inc. 92,800 293 NYMAGIC, Inc. 17,900 288 Richardson Electronics, Ltd. 23,700 287 * BioSphere Medical Inc. 24,800 279 * PEC Solutions, Inc. 7,400 278 * Kaiser Aluminum Corp. 170,900 277 * Federal-Mogul Corp. 349,900 276 * InKine Pharmaceutical Company, Inc. 176,300 275 Newmark Homes Corp. 18,900 273 * Star Scientific, Inc. 107,000 271 * American Realty Investors, Inc. 27,300 269 Fedders Corp. 88,400 269 Comdisco, Inc. 508,100 264 * Choice One Communications Inc. 75,200 263 * DuraSwitch Industries, Inc. 30,900 263 * iBasis, Inc. 194,100 254 * V.I. Technologies, Inc. 35,800 249 * Exact Sciences Corp. 23,990 246 * Immune Response 183,500 246 * StarBase Corp. 357,900 243 * AT&T Latin America Corp.- Class A 206,200 243 Equity One, Inc. REIT 17,100 235 * Extensity, Inc. 107,100 233 * Matrix Pharmaceutical, Inc. 147,300 231 * Amtran, Inc. 15,300 229 * Beacon Power Corp. 174,828 227 * Liberty Livewire Corp. 32,200 224 * K-V Pharmaceutical Co. Class A 7,500 221 * Interactive Intelligence Inc. 31,700 220 * National Beverage Corp. 18,200 216 * Digitas Inc. 53,611 216 Oglebay Norton Co. 13,900 215 * Seattle Genetics, Inc. 37,400 213 * Emex Corp. 68,675 213 Pacific Gulf Properties, Inc. REIT 125,800 208 * NewPower Holdings, Inc. 278,250 206 Coca-Cola Bottling Co. 5,422 205 Tremont Corp. 7,100 205 * Fairchild Corp. 70,500 204 * Genstar Therapeutics Corp. 81,100 200 * Carrier Access Corp. 68,500 200 Pilgrim's Pride Corp. Class A 20,350 195 * Digital Generation Systems 173,600 193 Exide Technologies 154,000 189 Fedders Corp. Class A 67,612 189
34
==================================================================================================================== Market Value* Shares (000) - ----------------------------------------------------------------------------------------------------------------- * Braun Consulting, Inc. 52,500 186 * Viasystems Group, Inc. 292,500 184 * SRI/Surgical Express, Inc. 11,250 180 * ITC DeltaCom, Inc. 201,200 175 * Neon Communications, Inc. 63,800 173 * Rohn Industries Inc. 81,600 168 * Novatel Wireless, Inc. 130,800 160 * On Command Corp. 50,300 153 * Tradestation Group Inc. 96,900 151 * XO Communications Inc. Class A 1,453,100 139 * PYR Energy Corp. 69,000 137 * Tripath Technology Inc. 73,800 126 * First Banks America, Inc. 3,900 123 * MEEMIC Holdings, Inc. 5,500 120 * Alliance Fiber Optic Products, Inc. 83,800 119 * ATP Oil & Gas Corp. 38,700 115 * Federal Agricultural Mortgage Corp. Class A 3,800 111 * Network Plus Corp. 94,400 110 * Optical Communication Products, Inc. 26,300 104 * NextCard, Inc. 181,400 94 * Adelphia Business Solutions, Inc. 158,100 92 * Engage, Inc. 208,100 92 * FINOVA Group, Inc. 141,200 86 * StarMedia Network, Inc. 218,700 83 * International Game Technology 1,200 82 HEICO Corp. Class A 5,810 78 * Pinnacle Holdings Inc. REIT 223,600 76 * Wackenhut Corp. Class B 3,656 70 * Constellation 3D, Inc. 70,000 60 * USinternetworking, Inc. 230,700 46 *Focal Communications Corp. 74,600 46 Gentek, Inc. 23,807 41 *Landenburg Thalmann Financial Services, Inc. 34,077 30* CBNY Investment Services Corp 2,600 26 * Hayes Lemmerz International, Inc. 93,200 24 * ACT Manufacturing, Inc. 68,100 24 * Optical Cable Corp. 13,200 22 * ProcureNet, Inc. 136,100 20 * IMPSAT Fiber Networks, Inc. 87,500 15 * CSF Holdings Inc. Contingent Litigation Rights 29,125 15 * Frontline Capital Group 74,900 8 * ANC Rental Corp. 205,300 6 * OmniSky Corp. 88,100 2 - ---------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $4,716,082) 4,657,514 - ----------------------------------------------------------------------------------------
- ------------------------------------------------------- Face Market Amount Value (000) (000) - ------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.7%)(1) - ------------------------------------------------------- Federal Home Loan Bank (2) 2.30%, 1/9/2002 $ 4,000 $ 3,999 Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F 154,211 154,211 1.75%, 1/2/2002 13,728 13,728 - ------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $171,937) 171,938 - ------------------------------------------------------- TOTAL INVESTMENTS (103.3%) (Cost $4,888,019) 4,829,452 - ------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-3.3%) - ------------------------------------------------------- Other Assets--Note B 106,396 Security Lending Collateral Payable to Brokers--Note F (154,211) Other Liabilities (105,484) ---------- (153,299) ----------- - ------------------------------------------------------- NET ASSETS (100%) $4,676,153 ======================================================= *See Note A in Notes to Financial Statements. *Non-income-producing security. (1)The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 3.4%, respectively, of net assets. See Note E in Notes to Financial Statements. (2)Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. 35 - ------------------------------------------------------- Amount SMALL-CAP INDEX FUND (000) - ------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - ------------------------------------------------------- Paid-in Capital--Note D $4,808,010 Overdistributed Net Investment Income (4,500) Accumulated Net Realized Losses--Note D (69,411) Unrealized Appreciation (Depreciation)--Note E Investment Securities (58,567) Futures Contracts 621 - ------------------------------------------------------- NET ASSETS $4,676,153 ======================================================= Investor Shares--Net Asset Applicable to 178,851,134 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,545,434 - ------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $19.82 ======================================================= Admiral Shares--Net Assets Applicable to 27,576,684 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $546,682 - ------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $19.82 ======================================================= Institutional Shares--Net Assets Applicable to 29,461,002 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $584,037 - ------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $19.82 ======================================================= 36
================================================================================================ Market Value* Small-Cap Growth Index Fund Shares (000) - ------------------------------------------------------------------------------------------------ COMMON STOCKS (100.1%) - ------------------------------------------------------------------------------------------------ * Cephalon, Inc. 125,500 9,486 * AdvancePCS 228,400 6,704 Commerce Bancorp, Inc. 161,840 6,367 * Varian Medical Systems, Inc. 83,500 5,950 * Whole Foods Market, Inc. 133,800 5,828 * Copart, Inc. 148,100 5,386 XTO Energy, Inc 306,350 5,361 * Michaels Stores, Inc. 160,800 5,298 * 99 Cents Only Stores 128,650 4,902 * Medicis Pharmaceutical Corp. 75,100 4,851 * O'Reilly Automotive, Inc. 130,300 4,752 * Alliant Techsystems, Inc. 61,050 4,713 * Zebra Technologies Corp. Class A 78,200 4,341 * Cerner Corp. 86,700 4,329 * ResMed Inc. 79,100 4,265 * The Cheesecake Factory 120,089 4,175 * Pharmaceutical Product Development, Inc. 128,900 4,165 Pier 1 Imports Inc. 230,800 4,002 Ethan Allen Interiors, Inc. 96,000 3,993 * Priority Healthcare Corp. Class B 112,700 3,966 OM Group, Inc. 59,900 3,965 * Renal Care Group, Inc. 122,100 3,919 * NVR, Inc. 19,200 3,917 Philadelphia Suburban Corp. 169,300 3,818 * Performance Food Group Co. 108,500 3,816 * Techne Corp. 103,050 3,797 Roper Industries Inc. 76,500 3,787 * Orthodontic Centers of America, Inc. 124,100 3,785 Skywest, Inc. 140,700 3,581 Harman International Industries, Inc. 79,300 3,576 First Midwest Bancorp 120,900 3,529 Fair, Isaac & Co. Inc. 55,550 3,501 * Scotts Co. 71,600 3,408 Hudson United Bancorp 114,500 3,286 Polaris Industries, Inc. 56,900 3,286 Ruby Tuesday, Inc. 157,700 3,253 United Bankshares, Inc. 111,900 3,229 Applebee's International, Inc. 91,800 3,140 Aptargroup Inc. 89,000 3,118 Global Payments Inc. 90,500 3,113 * Axcelis Technologies, Inc. 241,400 3,112 Diagnostic Products Corp. 70,000 3,077 * Regeneron Pharmaceuticals, Inc. 108,600 3,058 Graco, Inc. 77,100 3,011 * CEC Entertainment Inc. 69,100 2,998 * THQ Inc. 61,200 2,966 NDCHealth Corp. 84,400 2,916 FactSet Research Systems Inc. 82,900 2,897 * Aeroflex, Inc. 148,000 2,802 Cambrex Corp. 63,900 2,786 * Varian Semiconductor Equipment Associates, Inc. 80,500 2,784 * Cognex Corp. 108,600 2,781 * Mid Atlantic Medical Services, Inc. 120,200 2,729 * Jack in the Box Inc. 97,500 2,685 Regis Corp. 104,000 2,681 * Chico's FAS, Inc. 67,100 2,664 * Respironics, Inc. 75,700 2,622 * Tetra Tech, Inc. 129,025 2,569 Invacare Corp. 76,100 2,565 * Accredo Health, Inc. 64,600 2,565 Community First Bankshares, Inc. 99,800 2,564 * Insight Enterprises, Inc. 103,250 2,540 * Barra, Inc. 53,900 2,538 * Atlantic Coast Airlines Holdings Inc. 108,800 2,534 * Southwest Bancorporation of Texas, Inc. 81,700 2,472 * Arbitron Inc. 72,300 2,469 * Province Healthcare Co. 78,600 2,426 * Alpha Industries, Inc. 109,600 2,389 * MAXIMUS, Inc. 56,800 2,389 * IDEXX Laboratories Corp. 83,300 2,375 * Sonic Corp. 65,950 2,374 * Photronics Labs Inc. 74,300 2,329 * Argosy Gaming Co. 71,600 2,328 Technitrol, Inc. 83,700 2,312 * Kopin Corp. 162,500 2,275 * CACI International, Inc. 57,400 2,266 * Kronos, Inc. 46,734 2,261 * Veeco Instruments, Inc. 62,500 2,253 TrustCo Bank NY 176,853 2,223 * Haemonetics Corp. 65,400 2,218 * ESS Technology, Inc. 103,200 2,194 * Heartland Express, Inc. 78,575 2,182 * ADVO, Inc. 50,400 2,167 * ITT Educational Services, Inc. 58,600 2,161 * Corinthian Colleges, Inc. 52,700 2,155 * Elantec Semiconductor, Inc. 56,100 2,154 Delta & Pine Land Co. 95,000 2,150 * Mercury Computer Systems, Inc. 54,400 2,128 * Too Inc. 76,900 2,115 * Christopher & Banks Corporation 61,450 2,105 * Advanced Energy Industries, Inc. 78,900 2,102 Brady Corp. Class A 56,800 2,079 * Microsemi Corp. 69,700 2,070 UGI Corp. Holding Co. 67,500 2,039 * Cymer, Inc. 76,100 2,034
37
================================================================================================ Market Value* Small-Cap Growth Index Fund Shares (000) - ------------------------------------------------------------------------------------------------ * Sybron Dental Specialties, Inc. 93,900 2,026 * Armor Holdings, Inc. 74,900 2,022 * Manhattan Associates, Inc. 68,400 1,994 * Cal Dive International, Inc. 80,700 1,992 Hilb, Rogal and Hamilton Co. 35,000 1,962 * Philadelphia Consolidated Holding Corp. 51,900 1,957 * Read Rite Corp. 295,900 1,956 * Avant! Corp. 93,700 1,920 * NBTY, Inc. 161,800 1,893 Winnebago Industries, Inc. 51,100 1,888 * Administaff, Inc. 68,400 1,875 Cooper Cos., Inc. 37,500 1,874 Manitowac Co., Inc. 60,150 1,871 * American Italian Pasta Co. 43,600 1,833 * Panera Bread Co. 35,100 1,827 * Metro One Telecommunications, Inc. 60,350 1,826 * Forward Air Corp. 53,496 1,815 * ATMI, Inc. 75,200 1,794 * Impath, Inc. 39,900 1,776 * FileNET Corp. 87,200 1,769 Baldor Electric Co. 84,200 1,760 * Syncor International Corp. 61,400 1,758 * Harmonic, Inc. 146,200 1,757 * Vicor Corp. 105,300 1,706 * SCP Pool Corp. 61,900 1,699 * Insituform Technologies Inc. Class A 65,800 1,683 * Pacific Sunwear of California 81,200 1,658 Clarcor Inc. 61,000 1,656 Mentor Corp. 57,900 1,654 * Hot Topic, Inc. 51,500 1,617 * Group 1 Automotive, Inc. 56,400 1,608 * WMS Industries, Inc. 79,800 1,596 John H. Harland Co. 72,200 1,596 * Midway Games Inc. 105,700 1,587 * Netegrity, Inc. 81,900 1,586 * Power Integrations, Inc. 69,219 1,581 * Enzo Biochem, Inc. 67,120 1,577 * Photon Dynamics, Inc. 34,500 1,575 * Fossil, Inc. 74,800 1,571 * Monaco Coach Corp. 71,000 1,553 Owens & Minor, Inc. Holding Co. 83,900 1,552 * Progress Software Corp. 88,100 1,522 * SurModics, Inc. 41,500 1,513 * INAMED Corp. 49,938 1,502 Georgia Gulf Corp. 78,600 1,454 * Landstar System, Inc. 20,049 1,454 Carbo Ceramics Inc. 37,100 1,453 * AstroPower, Inc. 35,650 1,441 Hooper Holmes, Inc. 160,500 1,436 * Cost Plus, Inc. 53,300 1,412 * CryoLife Inc. 46,900 1,407 * P.F. Chang's China Bistro, Inc. 29,600 1,400 * Dionex Corp. 54,500 1,390 * Dendrite International, Inc. 97,850 1,373 * Rudolph Technologies, Inc. 40,000 1,373 * Mobile Mini, Inc. 34,900 1,365 UCBH Holdings, Inc. 48,000 1,365 * NYFIX, Inc. 68,050 1,362 Elcor Corp. 47,800 1,328 Sterling Bancshares, Inc. 104,850 1,313 Thor Industries, Inc. 35,000 1,297 * Action Performance Cos., Inc. 42,200 1,292 * MRO Software Inc. 55,100 1,288 * Teledyne Technologies, Inc. 78,900 1,285 * On Assignment, Inc. 55,500 1,275 Helix Technology Corp. 56,000 1,263 Oshkosh B' Gosh, Inc. Class A 29,600 1,241 * CUNO Inc. 40,600 1,238 Libbey, Inc. 37,900 1,237 Boston Private Financial Holdings, Inc. 55,100 1,216 * Frontier Airlines, Inc. 70,650 1,201 * Itron, Inc. 39,600 1,200 * Bio-Technology General Corp. 144,391 1,188 * Rogers Corp. 38,900 1,179 * United Natural Foods, Inc. 46,300 1,158 * Pre-Paid Legal Services, Inc. 52,800 1,156 * General Communication, Inc. 135,500 1,156 * The Wet Seal, Inc. Class A 49,000 1,154 Inter-Tel, Inc. 59,700 1,147 * Genesco, Inc. 54,500 1,131 Vital Signs, Inc. 32,000 1,117 * Tollgrade Communications, Inc. 33,400 1,114 Apogee Enterprises, Inc. 70,000 1,107 * MICROS Systems, Inc. 43,500 1,092 * InterVoice-Brite, Inc. 82,900 1,061 * Intermagnetics General Corp. 40,244 1,042 WD-40 Co. 39,000 1,039 Lance, Inc. 71,600 1,023 * ArthroCare Corp. 56,500 1,013 * Trimble Navigation Ltd. 61,900 1,003 * Noven Pharmaceuticals, Inc. 55,865 992 * Remington Oil & Gas Corp. 55,600 962 * MGI Pharma, Inc. 59,800 914 Advanced Marketing Services 47,400 865 * Concord Communications, Inc. 41,500 857 * Kroll Inc. 55,800 843 * Catapult Communications Corp. 32,200 839 * The Gymboree Corp. 70,100 836 * Ultimate Electronics, Inc. 27,400 822 Coca-Cola Bottling Co. 21,700 822 * Advanced Tissue Sciences Inc. 180,606 787 * Avid Technology, Inc. 64,500 784 * Radiant Systems, Inc. 67,896 781 K-Swiss, Inc. 22,800 758
38
================================================================================================ Market Value* Shares (000) - ------------------------------------------------------------------------------------------------ * SPSS, Inc. 41,600 738 * Roxio, Inc. 41,986 695 * Prima Energy Corp. 31,500 685 * Proxim, Inc. 68,600 681 * Startek, Inc. 35,100 665 Keithley Instruments Inc. 38,900 657 * Factory 2-U Stores Inc. 31,900 639 BEI Technologies, Inc. 35,800 624 Hancock Fabrics, Inc. 44,400 584 * MapInfo Corp. 36,400 571 * Sierra Health Services 69,400 562 Lindsay Manufacturing Co. 29,000 561 * Supertex, Inc. 30,900 541 * MemberWorks, Inc. 37,300 523 Nature's Sunshine Inc. 40,000 470 X-Rite Inc. 53,100 452 * Organogenesis, Inc. 91,000 437 * Cygnus Inc. 81,900 430 * Valence Technology Inc. 111,800 377 * Visual Networks, Inc. 78,100 361 * ZixIt Corp. 42,900 217 * Timberland Co. 1,100 41 - ---------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $411,681) 466,645 - ----------------------------------------------------------------------------------------
- ------------------------------------------------------- Face Market Amount Value (000) (000) - ------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.5%) - ------------------------------------------------------- Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F $5,232 5,232 1.75%, 1/2/2002 1,745 1,745 - ------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $6,977) 6,977 - ------------------------------------------------------- TOTAL INVESTMENTS (101.6%) (Cost $418,658) 473,622 - ------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.6%) - ------------------------------------------------------- Other Assets--Note B 5,215 Liabilities--Note F (12,546) ------------ (7,331) ------------ - ------------------------------------------------------- NET ASSETS (100%) $466,291 ======================================================== *See Note A in Notes to Financial Statements. *Non-income-producing security. - ------------------------------------------------------- Amount (000) - ------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - ------------------------------------------------------- Paid-in Capital--Note D $489,579 Overdistributed Net Investment Income--Note D (397) Accumulated Net Realized Losses--Note D (77,855) Unrealized Appreciation--Note E 54,964 - ------------------------------------------------------- NET ASSETS $466,291 ======================================================== Investor Shares--Net Assets Applicable to 32,867,666 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $357,238 - ------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $10.87 ======================================================== Institutional Shares--Net Assets Applicable to 10,032,844 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $109,053 - ------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $10.87 ======================================================== 39
================================================================================================ Market Value* Small-Cap Value Index Fund Shares (000) - ------------------------------------------------------------------------------------------------ COMMON STOCKS (99.6%) - ----------------------------------------------------------------------------------------------- D. R. Horton, Inc. 452,712 14,695 * Constellation Brands, Inc. Class A 254,700 10,914 Raymond James Financial, Inc. 282,700 10,042 Cullen/Frost Bankers, Inc. 298,900 9,230 * Newfield Exploration Co. 258,400 9,176 Massey Energy Co. 437,134 9,062 * Adaptec, Inc. 619,200 8,978 * Toll Brothers, Inc. 204,400 8,973 Washington Federal Inc. 339,710 8,758 * Zale Corp. 204,900 8,581 Pogo Producing Co. 315,800 8,296 La-Z-Boy Inc. 356,740 7,784 * Coventry Health Care Inc. 385,200 7,685 RGS Energy Group Inc. 203,900 7,667 First American Corp. 403,200 7,556 Corn Products International, Inc. 207,700 7,321 Downey Financial Corp. 165,800 6,839 Piedmont Natural Gas, Inc. 190,100 6,806 Whitney Holdings 155,200 6,806 Werner Enterprises, Inc. 279,567 6,793 * United Stationers, Inc. 199,000 6,696 Alpharma, Inc. Class A 251,300 6,647 * Mueller Industries Inc. 196,500 6,534 Commercial Federal Corp. 272,400 6,401 * Anixter International Inc. 216,500 6,281 IDEX Corp. 180,300 6,220 * Tom Brown, Inc. 229,600 6,201 * Black Box Corp. 117,100 6,192 Jefferies Group, Inc. 145,300 6,148 Shurgard Storage Centers, Inc. Class A REIT 191,400 6,125 * Linens 'n Things, Inc. 239,200 6,100 * Stone Energy Corp. 154,100 6,087 Florida Rock Industries, Inc. 165,700 6,061 Staten Island Bancorp, Inc. 371,000 6,051 * AnnTaylor Stores Corp. 171,400 5,999 MDC Holdings, Inc. 156,441 5,912 * Southern Union Co. 305,920 5,770 Ryland Group, Inc. 78,100 5,717 The Timken Co. 351,800 5,692 * Shaw Group, Inc. 239,900 5,638 * SEACOR SMIT Inc. 118,350 5,491 Briggs & Stratton Corp. 127,300 5,436 * Hain Celestial Group, Inc. 197,700 5,429 PolyOne Corp. 550,859 5,398 * Great Atlantic & Pacific Tea Co., Inc. 225,400 5,360 Vintage Petroleum, Inc. 370,900 5,360 Chittenden Corp. 188,325 5,198 The Pep Boys (Manny, Moe & Jack) 302,700 5,191 * Coherent, Inc. 166,300 5,142 Atmos Energy Corp. 240,100 5,102 * Waste Connections, Inc. 161,600 5,008 * Men's Wearhouse, Inc. 240,800 4,973 * Kulicke & Soffa Industries, Inc. 287,764 4,935 New Jersey Resources Corp. 104,900 4,909 * Kansas City Southern Industries,Inc. 347,200 4,906 * Pediatrix Medical Group, Inc. 144,100 4,888 USFreightways Corp. 155,600 4,886 Reliance Steel & Aluminum Co. 185,750 4,876 Fleming Cos., Inc. 261,400 4,836 Susquehanna Bancshares, Inc. 231,200 4,821 * Exar Corp. 231,000 4,816 * Electro Scientific Industries, Inc. 160,300 4,811 Oshkosh Truck Corp. 98,332 4,794 * DuPont Photomasks, Inc. 105,200 4,571 Texas Industries, Inc. 123,200 4,546 Energen Corp. 183,100 4,513 ABM Industries 142,900 4,480 Cabot Oil & Gas Corp. Class A 185,900 4,471 First Bancorp/Puerto Rico 156,300 4,455 * American Management Systems, Inc. 245,117 4,432 Burlington Coat Factory Warehouse Corp. 261,100 4,386 UIL Holdings Corp. 84,400 4,330 Casey's General Stores 290,300 4,325 * Brooks Automation, Inc. 106,100 4,315 The South Financial Group, Inc. 242,951 4,312 Hughes Supply, Inc. 139,600 4,309 * El Paso Electric Co. 296,300 4,296 * HNC Software, Inc. 208,300 4,291 Southwest Gas Corp. 190,500 4,258 Tredegar Corp. 223,400 4,245 Kilroy Realty Corp. REIT 161,200 4,235 * Evergreen Resources, Inc. 109,600 4,232 * Verity, Inc. 208,500 4,222 * Stillwater Mining Co. 227,800 4,214 Standard Pacific Corp. 173,100 4,210 * US Oncology, Inc. 557,481 4,203 CH Energy Group, Inc. 96,200 4,182 Central Parking Corp. 211,100 4,146 Roadway Corp 112,900 4,143 * Arkansas Best Corp. 142,985 4,121 * Simpson Manufacturing Co. 71,600 4,103 * Ralcorp Holdings, Inc. 175,600 3,986 Delphi Financial Group, Inc. 119,677 3,985 * EMCOR Group, Inc. 86,800 3,941 * Aztar Corp. 214,900 3,933 G & K Services, Inc. 121,300 3,918 MAF Bancorp, Inc. 132,200 3,900 Woodward Governor Co. 66,800 3,891
40
================================================================================================ Market Value* Small-Cap Value Index Fund Shares (000) - ------------------------------------------------------------------------------------------------ * Ryan's Family Steak Houses, Inc. 179,282 3,881 * Kirby Corp. 140,800 3,879 * Hyperion Solutions Corp. 192,700 3,827 Colonial Properties Trust REIT 122,700 3,822 Northwest Natural Gas Co. 147,900 3,771 Avista Corp. 279,500 3,706 Wolverine World Wide, Inc. 244,900 3,686 * Bally Total Fitness Holding Corp. 170,700 3,680 * Yellow Corp. 145,800 3,660 * Footstar Inc. 116,800 3,656 * DMC Stratex Networks, Inc. 469,456 3,652 Provident Bankshares Corp. 150,242 3,651 * Information Holdings Inc. 128,000 3,624 UniSource Energy Corp. 197,000 3,583 * IHOP Corp. 122,000 3,575 GenCorp, Inc. 252,100 3,557 Russ Berrie and Co., Inc. 118,300 3,549 * Cable Design Technologies Corp. 259,250 3,547 East West Bancorp, Inc. 137,600 3,543 Presidential Life Corp. 172,200 3,540 C & D Technology Inc. 154,300 3,526 * Paxar Corp. 246,000 3,493 * Take-Two Interactive Software, Inc. 215,100 3,478 * Champion Enterprises, Inc. 282,400 3,476 St. Mary Land & Exploration Co. 162,900 3,452 * Hutchinson Technology, Inc. 147,928 3,435 Patina Oil & Gas Corp. 124,400 3,421 * F.Y.I. Inc. 102,100 3,420 Belden, Inc. 144,400 3,401 Northwestern Corp. 161,200 3,393 * Plains Resources Inc. 137,200 3,376 * Ciber, Inc. 355,800 3,362 * Veritas DGC Inc. 180,800 3,345 * Spherion Corp. 341,470 3,333 The Toro Co. 73,200 3,294 Selective Insurance Group 149,730 3,254 Fremont General Corp. 414,200 3,239 MacDermid, Inc. 188,900 3,202 Kellwood Co. 133,200 3,198 LandAmerica Financial Group, Inc. 109,200 3,134 Milacron Inc. 197,000 3,115 American Financial Holdings, Inc. 122,400 3,110 * Steel Dynamics, Inc. 267,500 3,106 * Aspen Technologies, Inc. 184,700 3,103 * Viasys Healthcare Inc. 152,700 3,086 * Ionics, Inc. 102,700 3,084 * Oceaneering International, Inc. 139,300 3,081 * Financial Federal Corp. 97,800 3,056 * Alliance Semiconductor Corp. 252,260 3,047 Arch Chemicals, Inc. 130,600 3,030 * RehabCare Group, Inc. 102,200 3,025 * Triumph Group, Inc. 92,800 3,016 Park Electrochemical Corp. 114,200 3,015 The Standard Register Co. 162,500 3,011 Analogic Corp. 77,800 2,996 Datascope Corp. 86,900 2,948 * Conmed Corp. 147,650 2,947 * Swift Energy Co. 145,800 2,945 * Acuity Brands, Inc. 242,600 2,935 * Triarc Cos., Inc. Class A 119,900 2,914 Wellman, Inc. 187,900 2,911 * Prime Hospitality Corp. 262,300 2,898 * URS Corp. 105,100 2,881 * Griffon Corp. 191,270 2,869 Zenith National Insurance Corp. 102,500 2,864 * Rare Hospitality International Inc. 126,100 2,842 * Atwood Oceanics, Inc. 81,500 2,840 Russell Corp. 187,100 2,808 * Actel Corp. 141,010 2,808 Dime Community Bancshares 99,700 2,798 Cato Corp. Class A 147,600 2,790 * Sola International Inc. 141,900 2,753 * C-COR Electronics, Inc. 188,600 2,748 JLG Industries, Inc. 257,100 2,738 A.O. Smith Corp. 139,700 2,724 * Unit Corp. 210,400 2,714 * SPS Technologies, Inc. 77,300 2,699 CTS Corp. 169,100 2,689 Commercial Metals Co. 76,500 2,676 * The Dress Barn, Inc. 106,900 2,674 Regal-Beloit Corp. 122,300 2,666 The Laclede Group, Inc. 110,900 2,651 * International Multifoods Corp. 110,700 2,646 * Pinnacle Systems, Inc. 331,900 2,635 * Lone Star Technologies, Inc. 148,200 2,608 R.L.I. Corp. 57,900 2,606 Barnes Group, Inc. 108,200 2,596 * First Federal Financial Corp. 101,100 2,591 SWS Group, Inc. 100,858 2,567 * Tower Automotive, Inc. 283,800 2,563 Anchor Bancorp Wisconsin Inc. 143,100 2,539 * Checkpoint Systems, Inc. 186,200 2,495 Bowne & Co., Inc. 194,700 2,492 * Nautica Enterprises, Inc. 194,700 2,490 Chesapeake Corp. of Virginia 89,300 2,483 * Input/Output, Inc. 301,400 2,474 * Dril-Quip, Inc. 101,700 2,451 Universal Forest Products, Inc. 116,400 2,436 The Marcus Corp. 171,800 2,431 * School Specialty, Inc. 104,800 2,398
41
================================================================================================ Market Value* Small-Cap Value Index Fund Shares (000) - ------------------------------------------------------------------------------------------------ Cohu, Inc. 120,500 2,380 Pioneer Standard Electronics Inc. 185,700 2,358 Landry's Restaurants, Inc. 126,400 2,357 * The Profit Recovery Group International, Inc. 288,162 2,349 * Buckeye Technology, Inc. 203,900 2,345 * Quiksilver, Inc. 136,300 2,344 Riggs National Corp. 167,579 2,341 Watts Industries Class A 155,300 2,330 * Stratos Lightwave, Inc. 377,596 2,322 Arctic Cat, Inc. 136,185 2,315 * Offshore Logistics, Inc. 129,300 2,296 Thomas Industries, Inc. 89,400 2,235 Quanex Corp. 78,900 2,233 Watsco, Inc. 156,850 2,227 * Benchmark Electronics, Inc. 116,100 2,201 Trenwick Group Ltd. 215,000 2,187 Fleetwood Enterprises, Inc. 192,700 2,183 * Ultratech Stepper, Inc. 132,072 2,182 * Therma-Wave Inc. 143,300 2,138 * Pericom Semiconductor Corp. 147,100 2,133 Nash-Finch Co. 68,500 2,130 * CDI Corp. 111,400 2,117 Applied Industrial Technology, Inc. 112,100 2,091 Lone Star Steakhouse & Saloon, Inc. 140,300 2,081 * Prtesyn Technologies, Inc. 223,100 2,077 * AREXEL International Corp. 144,700 2,076 * ViaSat, Inc. 133,100 2,076 Valmont Industries, Inc. 142,750 2,064 * JAKKS Pacific, Inc. 108,700 2,060 American States Water Co. 58,800 2,055 Schweitzer-Mauduit International, Inc. 86,500 2,054 * Stewart Information Services Corp. 103,700 2,048 Kaman Corp. Class A 131,000 2,044 * Pegasus Solutions Inc. 143,460 2,037 * Gardner Denver Inc. 91,100 2,033 * ArQule, Inc. 119,500 2,032 * O'Charley's Inc. 108,600 2,010 * Stein Mart, Inc. 240,300 2,009 * RadiSys Corp. 102,103 2,007 GBC Bancorp 67,900 2,003 * Systems & Computer Technology Corp. 192,200 1,987 * Seitel, Inc. 146,100 1,987 * Three-Five Systems, Inc. 124,700 1,984 ChemFirst Inc. 82,000 1,966 * Esterline Technologies Corp. 122,600 1,963 Chemed Corp. 57,300 1,942 *First Republic Bank 79,400 1,918 * Heidrick & Struggles International, Inc. 105,100 1,908 * BE Avionics Inc. 207,600 1,904 NUI Corp. 80,200 1,901 Aaron Rents, Inc. Class B 116,500 1,899 Deltic Timber Corp. 69,300 1,899 Myers Industries, Inc. 139,041 1,898 * AXT, Inc. 130,400 1,882 Sturm, Ruger & Co., Inc. 156,900 1,880 Dimon Inc. 260,300 1,874 * Steak n Shake Company 167,530 1,850 * Electroglas, Inc. 122,900 1,815 Mutual Risk Management Ltd. 243,600 1,778 Phillips-Van Heusen Corp. 161,100 1,756 * TETRA Technologies, Inc. 82,100 1,720 * Phoenix Technologies Ltd. 147,000 1,711 * Theragenics Corp. 173,000 1,706 Methode Electronics, Inc. Class A 209,000 1,672 Interface, Inc. 296,400 1,663 Brown Shoe Company, Inc. 101,900 1,655 * Astec Industries, Inc. 114,200 1,651 * TBC Corp. 122,300 1,638 Robbins & Myers, Inc. 68,600 1,606 The Stride Rite Corp. 244,100 1,599 Century Aluminum Co. 119,600 1,598 * ShopKo Stores, Inc. 167,700 1,593 Ryerson Tull, Inc. 144,593 1,591 SCPIE Holdings Inc. 54,300 1,588 Skyline Corp. 48,900 1,577 Omnova Solutions Inc. 230,900 1,570 Bel Fuse, Inc.- Class B 62,650 1,569 Standex International Corp. 70,800 1,540 * Southwestern Energy Co. 146,900 1,528 * Volt Information Sciences Inc. 88,700 1,517 * Nuevo Energy Co. 99,100 1,487 * Consolidated Graphics, Inc. 76,700 1,476 Lawson Products, Inc. 56,200 1,461 * Standard Microsystem 93,719 1,455 * 4Kids Entertainment Inc. 71,200 1,426 Cascade Natural Gas Corp. 64,400 1,420 * Information Resources, Inc. 170,910 1,419 AAR Corp. 157,200 1,416 New England Business Service, Inc. 73,800 1,414 * Mesa Air Group Inc. 187,000 1,406 * Imagistics International Inc. 113,800 1,405 * Allen Telecom Inc. 164,100 1,395 * Key Production Company, Inc. 81,500 1,386 Brush Engineered Materials Inc. 96,900 1,380 * SCM Microsystems, Inc. 89,300 1,307 Pope & Talbot, Inc. 91,100 1,298
42
================================================================================================ Market Value* Small-Cap Value Index Fund Shares (000) - ------------------------------------------------------------------------------------------------ * QRS Corp. 91,000 1,283 * Concord Camera Corp. 159,900 1,266 * Bell Microproducts Inc. 98,600 1,244 * SBS Technologies, Inc. 84,600 1,233 * J & J Snack Foods Corp. 50,200 1,227 Cash America International Inc. 143,800 1,222 * Applica Inc. 135,500 1,221 Foster Wheeler Ltd. 237,800 1,213 * Salton, Inc. 64,100 1,210 * Labor Ready, Inc. 236,300 1,207 * RTI International Metals 120,900 1,203 Gerber Scientific, Inc. 128,600 1,196 * PolyMedica Corp. 71,800 1,192 * Magnatek 131,400 1,184 * Midwest Express Holdings, Inc. 80,700 1,178 * Aspect Communications Corp. 302,600 1,174 Penton Media, Inc. Class A 186,200 1,166 * Boston Communications Group, Inc. 100,200 1,137 Caraustar Industries, Inc. 162,500 1,126 Central Vermont Public Service Corp. 67,400 1,126 * Rainbow Technologies, Inc. 152,100 1,126 Coachmen Industries, Inc. 92,800 1,114 National Presto Industries, Inc. 39,900 1,107 * PC-Tel, Inc. 113,600 1,103 * Flow International Corp. 89,119 1,102 Quaker Chemical Corp. 53,200 1,096 * Aware, Inc. 132,000 1,096 Cleveland-Cliffs Iron Co. 59,200 1,083 Wabash National Corp. 134,200 1,047 Oxford Industries, Inc. 43,800 1,034 * Insurance Auto Auctions, Inc. 70,600 1,024 * Brightpoint, Inc. 325,700 1,023 Butler Manufacturing Co. 36,700 1,017 Standard Motor Products, Inc. 72,700 1,011 Midas Inc. 86,900 999 * Symmetricom Inc. 130,862 996 * Audiovox Corp. 133,400 995 * Hologic, Inc. 106,000 985 Bassett Furniture Industries, Inc. 68,400 958 * Lydall, Inc. 92,800 928 Thomas Nelson, Inc. 83,600 928 * Pinnacle Entertainment, Inc. 148,300 894 * Material Sciences Corp. 86,000 870 * Building Materials Holding Corp. 75,700 821 * Wolverine Tube, Inc. 70,500 800 * Goody's Family Clothing 189,300 795 * Jo-Ann Stores, Inc. Class A 107,500 769 CPI Corp. 46,000 764 * K2 Inc. 104,600 754 * Carreker Corp. 127,600 753 * Luby's, Inc. 130,800 747 * Network Equipment Technologies, Inc. 129,000 703 * Hall, Kinion & Associates, Inc. 74,851 702 * Franklin Covey Co. 116,000 699 * Davox Corp. 72,000 696 * SpaceLabs Medical, Inc. 56,800 690 * Captaris Inc. 183,600 677 A.M. Castle & Co. 82,300 675 * Department 56 Inc. 75,200 647 Green Mountain Power Corp. 33,100 617 * IMCO Recycling, Inc. 86,000 615 * Ashworth, Inc. 75,400 595 Analysts International Corp. 141,146 583 Titan International, Inc. 120,700 572 * A.T. Cross Co. Class A 96,710 571 * Curative Health Services Inc. 42,200 570 * Digi International, Inc. 89,400 569 * ePresence, Inc. 134,774 565 Penford Corp. 43,900 547 Fedders Corp. 179,200 545 Angelica Corp. 50,200 544 Steel Technologies, Inc. 59,600 541 Pier 1 Imports Inc. 31,200 541 SLI, Inc. 95,200 509 * Enesco Group, Inc. 80,200 505 Intermet Corp. 145,100 486 * Brooktrout Technology, Inc. 72,476 471 * Computer Task Group, Inc. 118,800 468 Commonwealth Industries Inc. 96,000 451 * Osteotech, Inc. 81,000 450 * Mississippi Chemical Corp. 152,400 431 Haggar Corp. 37,000 401 * Royal Appliance Manufacturing Co. 79,400 396 National Service Industries, Inc. 191,800 387 * Huffy Corp. 60,500 387 * Meade Instruments Corp. 93,978 336 BMC Industries, Inc. 156,400 322 Brady Corp. Class A 5,200 190 * ZixIt Corp. 37,500 190 * Michaels Stores, Inc. 5,200 171 * Read Rite Corp. 18,600 123 UGI Corp. Holding Co. 500 15 Regis Corp. 200 5 * ESS Technology, Inc. 95 2 * Sierra Health Services 200 2 * The Gymboree Corp. 90 1 --------------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $1,107,199) 1,123,360 ---------------------------------------------------------------------------------------
43 - ------------------------------------------------------- Face Market Small-Cap Value Amount Value Index Fund (000) (000) - ------------------------------------------------------- TEMPORARY CASH INVESTMENTS (2.0%) - ------------------------------------------------------- Repurchase Agreements Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F $16,994 16,994 1.75%, 1/2/2002 5,124 5,124 - ------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $22,118) 22,118 - ------------------------------------------------------- TOTAL INVESTMENTS (101.6%) (Cost $1,129,317) 1,145,478 - ------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-1.6%) - ------------------------------------------------------- Other Assets--Note B 12,809 Liabilities--Note F (30,481) ----------- (17,672) ----------- - ------------------------------------------------------- NET ASSETS (100%) $1,127,806 ======================================================= *See Note A in Notes to Financial Statements. *Non-income-producing security. REIT--Real Estate Investment Trust. - -------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------- Paid-in Capital--Note D $1,075,062 Overdistributed Net Investment Income--Note D (38) Accumulated Net Realized Gains--Note D 36,621 Unrealized Appreciation--Note E 16,161 - -------------------------------------------------------- NET ASSETS $1,127,806 ========================================================= Investor Shares--Net Assets Applicable to 77,981,027 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $802,470 - -------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $10.29 ========================================================= Institutional Shares--Net Assets Applicable to 31,605,007 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $325,336 - -------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $10.29 44 STATEMENT OF OPERATIONS This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period.
- -------------------------------------------------------------------------------- Small-Cap Small-Cap Small-Cap Growth Value Index Fund Index Fund Index Fund ------------------------------------------------ Year Ended December 31, 2001 ------------------------------------------------ (000) (000) (000) - ----------------------------------------------------------------------------------------- INVESTMENT INCOME Income Dividends $ 57,321 $ 1,305 $ 9,261 Interest 759 22 226 Security Lending 3,424 236 386 - ----------------------------------------------------------------------------------------- Total Income 61,504 1,563 9,873 - ----------------------------------------------------------------------------------------- Expenses The Vanguard Group--Note B Investment Advisory Services 181 54 55 Management and Administrative Investor Shares 8,294 715 1,317 Admiral Shares 786 -- -- Institutional Shares 364 38 117 Marketing and Distribution Investor Shares 567 50 72 Admiral Shares 36 -- -- Institutional Shares 80 14 32 Custodian Fees 121 85 177 Auditing Fees 12 12 12 Shareholders' Reports Investor Shares 94 11 4 Admiral Shares 1 -- -- Institutional Shares 1 2 1 Trustees' Fees and Expenses 7 1 1 - ----------------------------------------------------------------------------------------- Total Expenses 10,544 982 1,788 Expenses Paid Indirectly--Note C (25) -- -- - ----------------------------------------------------------------------------------------- Net Expenses 10,519 982 1,788 - ----------------------------------------------------------------------------------------- NET INVESTMENT INCOME 50,985 581 8,085 - ----------------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (51,505) (48,002) 51,790 Futures Contracts (1,075) -- -- - ----------------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (52,580) (48,002) 51,790 - ----------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities 135,577 43,495 22,382 Futures Contracts 568 -- -- - ----------------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 136,145 43,495 22,382 - ----------------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $134,550 $ (3,926) $82,257 =========================================================================================
45 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares.
=========================================================================================================== SMALL-CAP SMALL-CAP GROWTH INDEX FUND INDEX FUND ----------------------- ----------------------- Year Ended December 31, ---------------------------------------------------- 2001 2000 2001 2000 (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS Operations Net Investment Income $ 50,985 $ 52,786 $ 581 $ 148 Realized Net Gain (Loss) (52,580) 561,654 (48,002) 1,658 Change in Unrealized Appreciation (Depreciation) 136,145 (782,796) 43,495 (26,012) - -------------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 134,550 (168,356) (3,926) (24,206) - -------------------------------------------------------------------------------------------------------- Distributions Net Investment Income Investor Shares (39,463) (41,465) (492) (92) Admiral Shares (6,508) (2,857) -- -- Institutional Shares (6,951) (6,616) (295) (74) Realized Capital Gain* Investor Shares -- (483,018) -- (17,524) Admiral Shares -- (30,291) -- -- Institutional Shares -- (67,331) -- (3,539) - ------------------------------------------------------------------------------------------------------- Total Distributions (52,922) (631,578) (787) (21,229) - ------------------------------------------------------------------------------------------------------- Capital Share Transactions--Note G Investor Shares (89,727) 702,333 5,837 228,254 Admiral Shares 283,860 278,915 -- -- Institutional Shares 82,121 169,164 36,746 78,347 - ------------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 276,254 1,150,412 42,583 306,601 - ------------------------------------------------------------------------------------------------------- Total Increase (Decrease) 357,882 350,478 37,870 261,166 - ------------------------------------------------------------------------------------------------------- Net Assets Beginning of Period 4,318,271 3,967,793 428,421 167,255 - ------------------------------------------------------------------------------------------------------- End of Period $4,676,153 $4,318,271 $466,291 $428,421 ======================================================================================================= *Includes 2000 short-term gain distributions totaling $76,356,000 and $9,053,000 that are treated as ordinary income dividends for tax purposes.
46
=================================================================================================== SMALL-CAP VALUE INDEX FUND -------------------------------- Year Ended December 31, -------------------------------- 2001 2000 (000) (000) - -------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS Operations Net Investment Income $ 8,085 $ 3,334 Realized Net Gain (Loss) 51,790 43,339 Change in Unrealized Appreciation (Depreciation) 22,382 16,034 - --------------------------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations 82,257 62,707 - --------------------------------------------------------------------------------------------------- Distributions Net Investment Income Investor Shares (4,910) (2,557) Institutional Shares (2,439) (807) Realized Capital Gain* Investor Shares (29,945) (13,937) Institutional Shares (10,672) (2,452) - --------------------------------------------------------------------------------------------------- Total Distributions (47,966) (19,753) - --------------------------------------------------------------------------------------------------- Capital Share Transactions--Note G Investor Shares 454,665 78,643 Institutional Shares 235,917 67,047 - --------------------------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 690,582 145,690 - --------------------------------------------------------------------------------------------------- Total Increase (Decrease) 724,873 188,644 - -------------------------------------------------------------------------------------------------- Net Assets Beginning of Period 402,933 214,289 - ------------------------------------------------------------------------------------------------- End of Period $1,127,806 $402,933 ================================================================================================= *Includes short-term gain distributions totaling $31,867,000 and $16,389,000 that are treated as ordinary income dividends for tax purposes.
47 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
================================================================================================================ SMALL-CAP INDEX FUND INVESTOR SHARES Year Ended December 31, ------------------------------------------------------------- For a Share Outstanding Throughout Each Period 2001 2000 1999 1998 1997 - --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $19.44 $23.60 $21.20 $23.75 $20.23 - ---------------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .217 .270 .256 .311 .277 Net Realized and Unrealized Gain (Loss) on Investments .388 (1.145) 4.491 (1.007) 4.632 - ---------------------------------------------------------------------------------------------------------------- Total from Investment Operations .605 (.875) 4.747 (.696) 4.909 - ---------------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.225) (.260) (.267) (.304) (.274) Distributions from Realized Capital Gains -- (3.025) (2.080) (1.550) (1.115) - ---------------------------------------------------------------------------------------------------------------- Total Distributions (.225) (3.285) (2.347) (1.854) (1.389) - ---------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $19.82 $19.44 $23.60 $21.20 $23.75 ================================================================================================================ Total Return* 3.10% -2.67% 23.13% -2.61% 24.59% ================================================================================================================ Ratios/Supplemental Data Net Assets, End of Period (Millions) $3,545 $3,577 $3,553 $2,768 $2,652 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.25% 0.24% 0.23% Ratio of Net Investment Income to Average Net Assets 1.16% 1.17% 1.25% 1.39% 1.38% Portfolio Turnover Rate 39% 49% 42% 35% 29% ================================================================================================================ *Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000, or the $10 annual account maintenance fee applied on balances under $10,000.
48
========================================================================================================= SMALL-CAP INDEX FUND ADMIRAL SHARES Year Ended NOV.13* TO For a Share Outstanding Throughout Each Period December 31, 2001 DEC.31,2000 - --------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $19.44 $22.40 - ---------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .231 .053 Net Realized and Unrealized Gain (Loss) on Investments .388 .062 - ----------------------------------------------------------------------------------------------------------- Total from Investment Operations .619 .115 - ----------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.239) (.265) Distributions from Realized Capital Gains -- (2.810) - ---------------------------------------------------------------------------------------------------------- Total Distributions (.239) (3.075) - -------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $19.82 $19.44 =========================================================================================================== Total Return 3.17% 1.75% =========================================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $547 $252 Ratio of Total Expenses to Average Net Assets 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 1.24% 1.79%** Portfolio Turnover Rate 39% 49% =========================================================================================================== *Inception. **Annualized.
================================================================================================================ SMALL-CAP INDEX FUND INSTITITONAL SHARES Year Ended December 31, -------------------------------------------------- July 7* to For a Share Outstanding Throughout Each Period 2001 2000 1999 1998 Dec 31, 1997 - ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $19.44 $23.61 $21.20 $23.75 $22.56 - ----------------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .251 .292 .295 .336 .158 Net Realized and Unrealized Gain (Loss) on Investments .388 (1.145) 4.491 (1.007) 2.370 - ------------------------------------------------------------------------------------------------------------------ Total from Investment Operations .639 (.853) 4.786 (.671) 2.528 - ------------------------------------------------------------------------------------------------------------------ Distributions Dividends from Net Investment Income (.259) (.292) (.296) (.329) (.288) Distributions from Realized Capital Gains -- (3.025) (2.080) (1.550) (1.050) - ------------------------------------------------------------------------------------------------------------------ Total Distributions (.259) (3.317) (2.376) (1.879) (1.338) - ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $19.82 $19.44 $23.61 $21.20 $23.75 ================================================================================================================ Total Return** 3.27% -2.56% 23.33% -2.50% 11.42% ================================================================================================================ Ratios/Supplemental Data Net Assets, End of Period (Millions) $584 $490 $415 $264 $137 Ratio of Total Expenses to Average Net Assets 0.10% 0.13% 0.12% 0.12% 0.12%Y Ratio of Net Investment Income to Average Net Assets 1.34% 1.32% 1.37% 1.53% 1.52%Y Portfolio Turnover Rate 39% 49% 42% 35% 29% ================================================================================================================ *Inception. **Total returns do not reflect the 0.5% transaction fee on purchases through March 31, 2000. YAnnualized.
49
================================================================================================================ SMALL-CAP GROWTH INDEX FUND INVESTOR SHARES Year Ended December 31, -------------------------------------------------- Apr. 20* to For a Share Outstanding Throughout Each Period 2001 2000 1999 Dec 31, 1998 - ----------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $10.97 $11.38 $ 9.53 $10.00 - ------------------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .009 .009 .025 .03 Net Realized and Unrealized Gain (Loss) on Investments (.094) .154 1.860 (.47) - --------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (.085) .163 1.885 (.44) - -------------------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.015) (.003) (.035) (.03) Distributions from Realized Capital Gains -- (.570) -- -- - ------------------------------------------------------------------------------------------------------------------- Total Distributions (.015) (.573) (.035) (.03) - ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $10.87 $10.97 $11.38 $ 9.53 ===================================================================================================================== Total Return** -.78% 1.59% 19.80% -4.77% ===================================================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $357 $356 $167 $90 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.25% 0.25%Y Ratio of Net Investment Income to Average Net Assets 0.11% 0.03% 0.33% 0.63%Y Portfolio Turnover Rate 74% 136% 82% 77% ===================================================================================================================== *Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. **Total returns do not reflect transaction fees on purchases (0.5% after February 28, 1999; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000. YAnnualized.
=============================================================================================================== SMALL-CAP GROWTH INDEX FUND INSTITUTIONAL SHARES Year Ended MAY 24* TO For a Share Outstanding Throughout Each Period December 31, 2001 DEC.31,2000 - --------------------------------------------------------------------------------------------------------------- Net Asset Value, Beginning of Period $10.97 $11.03 - ---------------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .024 .009 Net Realized and Unrealized Gain (Loss) on Investments (.094) .513 - ---------------------------------------------------------------------------------------------------------------- Total from Investment Operations (.070) .522 - ---------------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.030) (.012) Distributions from Realized Capital Gains -- (.570) - ---------------------------------------------------------------------------------------------------------------- Total Distributions (.030) (.582) - --------------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $10.87 $10.97 =============================================================================================================== Total Return** -.64% 4.90% =============================================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $109 $73 Ratio of Total Expenses to Average Net Assets 0.10% 0.13%Y Ratio of Net Investment Income to Average Net Assets 0.28% 0.11%Y Portfolio Turnover Rate 74% 136% =============================================================================================================== *Inception. **Total returns do not reflect the 0.5% transaction fee on purchases. YAnnualized.
50
================================================================================================================== SMALL-CAP VALUE INDEX FUND INVESTOR SHARES Year Ended December 31, -------------------------------------------------- Apr. 20* to For a Share Outstanding Throughout Each Period 2001 2000 1999 Dec 31, 1998 - ------------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 9.65 $8.45 $8.74 $10.00 - ------------------------------------------------------------------------------------------------------------------- Investment Operations Net Investment Income .074 .084 .065 .045 Net Realized and Unrealized Gain (Loss) on Investments 1.176 1.698 .210 (1.250) - ------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.250 1.782 .275 (1.205) - ------------------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.065) (.082) (.070) (.055) Distributions from Realized Capital Gains (.545) (.500) (.495) -- - ------------------------------------------------------------------------------------------------------------------ Total Distributions (.610) (.582) (.565) (.055) - ------------------------------------------------------------------------------------------------------------------ Net Asset Value, End of Period $10.29 $9.65 $8.45 $ 8.74 ================================================================================================================== Total Return** 13.70% 21.88% 3.35% -12.47% ================================================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $802 $317 $204 $113 Ratio of Total Expenses to Average Net Assets 0.27% 0.27% 0.25% 0.25%Y Ratio of Net Investment Income to Average Net Assets 0.97% 1.16% 0.96% 1.13%Y Portfolio Turnover Rate 59% 82% 80% 53% ================================================================================================================== *Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. **Total returns do not reflect transaction fees on purchases (0.5% after February 28, 1999; 1.0% from inception through February 28, 1999) or the $10 annual account maintenance fee applied on balances under $10,000. YAnnualized.
================================================================================================================ SMALL-CAP VALUE INDEX FUND INSTITUTIONAL SHARES Year Ended December 31, -----------------------------------Apr. 20* to For a Share Outstanding Throughout Each Period 2001 2000 Dec 31, 1999 - ------------------------------------------------------------------------------------------------------------ Net Asset Value, Beginning of Period $ 9.65 $8.45 $8.74 - ------------------------------------------------------------------------------------------------------------ Investment Operations Net Investment Income .089 .097 .009 Net Realized and Unrealized Gain (Loss) on Investments 1.176 1.698 .226 - ----------------------------------------------------------------------------------------------------------- Total from Investment Operations 1.265 1.795 .235 - ----------------------------------------------------------------------------------------------------------- Distributions Dividends from Net Investment Income (.080) (.095) (.070) Distributions from Realized Capital Gains (.545) (.500) (.455) - ----------------------------------------------------------------------------------------------------------- Total Distributions (.625) (.595) (.525) - ----------------------------------------------------------------------------------------------------------- Net Asset Value, End of Period $10.29 $9.65 $8.45 =========================================================================================================== Total Return** 13.86% 22.04% 2.83% =========================================================================================================== Ratios/Supplemental Data Net Assets, End of Period (Millions) $325 $86 $10 Ratio of Total Expenses to Average Net Assets 0.10% 0.13% 0.13%Y Ratio of Net Investment Income to Average Net Assets 1.14% 1.36% 1.37%Y Portfolio Turnover Rate 59% 82% 80% ============================================================================================================= *Inception. **Total returns do not reflect the 0.5% transaction fee on purchases. YAnnualized.
51 NOTES TO FINANCIAL STATEMENTS Vanguard Small-Cap Index, Small-Cap Growth Index, and Small-Cap Value Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Small-Cap Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Small-Cap Growth Index and the Small-Cap Value Index Funds each offer two classes of shares, Investor Shares and Institutional Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares were first issued on November 13, 2000, and are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. Security Valuation: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. Federal Income Taxes: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. Repurchase Agreements: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. Futures Contracts: The Small-Cap Index Fund uses Russell 2000 Index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 52 5. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. 6. Other: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Transaction fees assessed on purchases of capital shares are credited to paid-in capital. Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2001, the funds had contributed capital to Vanguard (included in Other Assets) of:
- -------------------------------------------------------------------------------- Capital Contributions Percentage Percentage of to Vanguard of Fund Vanguard's Index Fund (000) Net Assets Capitalization - -------------------------------------------------------------------------------- Small-Cap $805 0.02% 0.80% Small-Cap Growth 79 0.02 0.08 Small-Cap Value 187 0.02 0.19 - --------------------------------------------------------------------------------
The funds' trustees and officers are also directors and officers of Vanguard. C. The funds' custodian banks have agreed to reduce their fees when the funds maintain cash on deposit in their non-interest-bearing custody accounts. For the year ended December 31, 2001, custodian fee offset arrangements reduced expenses of the Small-Cap Index Fund by $25,000. D. During the year ended December 31, 2001, purchases and sales of investment securities other than temporary cash investments were:
- -------------------------------------------------------------------------------- (000) -------------------------------------- Index Fund Purchases Sales - -------------------------------------------------------------------------------- Small-Cap $1,931,757 $1,663,901 Small-Cap Growth 352,360 311,679 Small-Cap Value 1,120,477 472,129 - --------------------------------------------------------------------------------
During the year ended December 31, 2001, the Small-Cap Index Fund realized $2,196,000 of net capital gains resulting from in-kind redemptions--in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. The Small-Cap Growth Index and the Small-Cap Value Index Funds used a tax accounting practice to treat a portion of the price of capital shares redeemed during 2000 and 2001 as 53 distributions from net investment income and realized capital gains. Accordingly, the funds have reclassified the following amounts from undistributed net investment income and accumulated net realized gains to paid-in capital:
- -------------------------------------------------------------------------------- (000) ------------------------------------------- Undistributed Accumulated Net Investment Net Realized Index Fund Income Gains - -------------------------------------------------------------------------------- Small-Cap Growth $ 17 $ 35 Small-Cap Value 624 4,413 - --------------------------------------------------------------------------------
For tax purposes, at December 31, 2001, the funds had the following capital gains available for distribution, or capital losses available to offset future net capital gains:
- -------------------------------------------------------------------------------- Capital Loss Capital Gains----------------------------------------- Available for Expiration: Distribution Amount Fiscal Year(s) Ending Index Fund (000) (000) December 31, - -------------------------------------------------------------------------------- Small-Cap -- $68,761 2009 Small-Cap Growth -- 77,734 2009-2010 Small-Cap Value $36,658 -- -- - --------------------------------------------------------------------------------
The Small-Cap Value Index Fund's capital gains available for distribution include short-term gains of $25,474,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. E. At December 31, 2001, net unrealized appreciation (depreciation) of investment securities for financial reporting and federal income tax purposes was:
- -------------------------------------------------------------------------------- (000) ------------------------------------------- Net Unrealized Appreciated Depreciated Appreciation Index Fund Securities Securities (Depreciation) - -------------------------------------------------------------------------------- Small-Cap $844,339 $(902,906) $(58,567) Small-Cap Growth 80,333 (25,369) 54,964 Small-Cap Value 91,932 (75,771) 16,161 - --------------------------------------------------------------------------------
At December 31, 2001, the aggregate settlement value of open futures contracts expiring in March 2002 and the related unrealized appreciation were:
- -------------------------------------------------------------------------------- (000) ------------------------------------------- Aggregate Unrealized Number of Settlement Appreciation Index Fund/Futures Contracts Long Contracts Value (Depreciation) - -------------------------------------------------------------------------------- Small-Cap/Russell 2000 Index 57 $13,945 $621 - --------------------------------------------------------------------------------
Unrealized appreciation on open futures contracts is treated as realized gain for tax purposes. 54 F. The market value of securities on loan to broker/dealers at December 31, 2001, and collateral received with respect to such loans were:
- -------------------------------------------------------------------------------- (000) ------------------------------------------- Market Value Cash of Loaned Collateral Index Fund Securities Received - -------------------------------------------------------------------------------- Small-Cap $125,119 $154,211 Small-Cap Growth 4,889 5,232 Small-Cap Value 15,945 16,994 - --------------------------------------------------------------------------------
The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. G. Capital share transactions for each class of shares were:
- ---------------------------------------------------------------------------------------------------------- Year Ended December 31, ---------------------------------------------------------- 2001 2000 ------------------------- -------------------------- Amount Shares Amount Shares Index Fund (000) (000) (000) (000) - ---------------------------------------------------------------------------------------------------------- SMALL-CAP Investor Shares Issued $842,493 43,928 $ 1,398,652 57,881 Issued in Lieu of Cash Distributions 36,583 1,827 491,844 26,983 Redeemed (968,803) (50,931) (1,188,163) (51,370) ---------------------------------------------------------- Net Increase (Decrease)--Investor Shares (89,727) (5,176) 702,333 33,494 ---------------------------------------------------------- Admiral Shares Issued 368,539 19,184 253,068 11,496 Issued in Lieu of Cash Distributions 5,443 272 28,632 1,606 Redeemed (90,122) (4,848) (2,785) (133) ---------------------------------------------------------- Net Increase (Decrease)--Admiral Shares 283,860 14,608 278,915 12,969 ---------------------------------------------------------- Institutional Shares Issued 192,923 10,165 280,399 11,873 Issued in Lieu of Cash Distributions 3,075 138 62,547 3,450 Redeemed (113,877) (6,034) (173,782) (7,699) ---------------------------------------------------------- Net Increase (Decrease)--Institutional Shares 82,121 4,269 169,164 7,624 --------------------------------------------------------------------------------------------------------- SMALL-CAP GROWTH Investor Shares Issued $ 98,546 9,585 $ 317,984 24,996 Issued in Lieu of Cash Distributions 377 34 16,226 1,525 Redeemed (93,086) (9,163) (105,956) (8,802) ---------------------------------------------------------- Net Increase (Decrease)--Investor Shares 5,837 456 228,254 17,719 ---------------------------------------------------------- Institutional Shares Issued 52,645 5,040 80,757 6,808 Issued in Lieu of Cash Distributions 295 27 3,614 339 Redeemed (16,194) (1,670) (6,024) (512) ---------------------------------------------------------- Net Increase (Decrease)--Institutional Shares 36,746 3,397 78,347 6,635 - ----------------------------------------------------------------------------------------------------------
55
- ---------------------------------------------------------------------------------------------------------- Year Ended December 31, ---------------------------------------------------------- 2001 2000 ------------------------- -------------------------- Amount Shares Amount Shares Index Fund (000) (000) (000) (000) - ---------------------------------------------------------------------------------------------------------- SMALL-CAP VALUE Investor Shares Issued $ 562,858 56,428 $130,411 14,727 Issued in Lieu of Cash Distributions 32,383 3,441 15,227 1,725 Redeemed (140,576) (14,715) (66,995) (7,822) ---------------------------------------------------------- Net Increase (Decrease)--Investor Shares 454,665 45,154 78,643 8,630 ---------------------------------------------------------- Institutional Shares Issued 290,445 28,569 73,136 8,431 Issued in Lieu of Cash Distributions 12,407 1,306 2,618 290 Redeemed (66,935) (7,182) (8,707) (973) ---------------------------------------------------------- Net Increase (Decrease)--Institutional Shares 235,917 22,693 67,047 7,748 - ----------------------------------------------------------------------------------------------------------
56 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Small-Cap Index Fund, Small-Cap Growth Index Fund, and Small-Cap Value Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2001, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2001 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania January 31, 2002 - -------------------------------------------------------------------------------- SPECIAL 2001 TAX INFORMATION (unaudited) for Vanguard U.S. Stock Index Funds (Small-Capitalization Portfolios) This information for the fiscal year ended December 31, 2001, is included pursuant to provisions of the Internal Revenue Code. The Small-Cap Value Index Fund distributed $9,605,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year, all of which is designated as a 20% rate gain distribution. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: ------------------------------------- Vanguard Fund Percentage ------------------------------------- Small-Cap 73.1% Small-Cap Growth 100.0 Small-Cap Value 18.8 ------------------------------------- 57 ADVANTAGES OF VANGUARD.COM(TM) [PHOTO OF COMPUTER] Why wait for the mail? You can get fund reports like this one sooner--and reduce the amount of mail you receive from us. Simply choose to view your fund reports online. Consider the benefits of using Vanguard.com. On our website, you can: * Choose to receive all fund reports, as well as prospectuses, online. * Request a courtesy e-mail to notify you when a new fund report or prospectus is available. When you receive fund reports and prospectuses online, you lower Vanguard's printing and postage costs--and that helps to reduce the expense ratios of your funds. You will continue to receive confirmations of purchases, redemptions, and other account activity by mail. HOW TO NOTIFY US ABOUT YOUR MAILING PREFERENCES You can easily tell us to stop mailing your fund reports and prospectuses. Just log on to Vanguard.com (or follow the easy steps to register for secure, online access to your accounts) and update your Web profile. Registered users can also view their account values; download records of recent transactions; research and track the performance of individual securities and funds; buy, exchange, and sell fund shares; and much more. If you invest directly with us, you can also elect to receive all of your account statements online or to continue the mailing of only your year-end statements, which detail every transaction you make during the year. However, if you invest with us through an employer-sponsored retirement plan or a financial intermediary, some of these options may not be available to you. All Vanguard shareholders can choose to receive our electronic newsletters: ECONOMIC WEEK IN REVIEW, a recap of each week's key economic reports and market activity; and WHAT'S NEW AT VANGUARD, a monthly update on our mutual funds, services, and online resources. YOUR ONLINE INFORMATION IS SECURE Vanguard.com uses some of the most secure forms of online communication available, including data encryption and Secure Sockets Layer (SSL) protocol. These technologies provide a high level of security and privacy when you access your account information, initiate online transactions, or send us messages. 58 VANGUARD(R) FAMILY OF FUNDS STOCK FUNDS 500 Index Fund Calvert Social Index(TM) Fund Capital Opportunity Fund Capital Value Fund Convertible Securities Fund Developed Markets Index Fund Emerging Markets Stock Index Fund Energy Fund Equity Income Fund European Stock Index Fund Explorer(TM) Fund Extended Market Index Fund Global Equity Fund Growth and Income Fund Growth Equity Fund Growth Index Fund Health Care Fund Institutional Developed Markets Index Fund Institutional Index Fund Institutional Total Stock Market Index Fund International Growth Fund International Value Fund Mid-Cap Index Fund Morgan(TM) Growth Fund Pacific Stock Index Fund Precious Metals Fund PRIMECAP Fund REIT Index Fund Selected Value Fund Small-Cap Growth Index Fund Small-Cap Index Fund Small-Cap Value Index Fund Strategic Equity Fund Tax-Managed Capital Appreciation Fund Tax-Managed Growth and Income Fund Tax-Managed International Fund Tax-Managed Small-Cap Fund Total International Stock Index Fund Total Stock Market Index Fund U.S. Growth Fund U.S. Value Fund Utilities Income Fund Value Index Fund Windsor(TM) Fund Windsor(TM) II Fund BALANCED FUNDS Asset Allocation Fund Balanced Index Fund LifeStrategy(R) Conservative Growth Fund LifeStrategy(R) Growth Fund LifeStrategy(R) Income Fund LifeStrategy(R) Moderate Growth Fund STAR(TM) Fund Tax-Managed Balanced Fund Wellesley(R) Income Fund Wellington(TM) Fund BOND FUNDS GNMA Fund High-Yield Corporate Fund High-Yield Tax-Exempt Fund Inflation-Protected Securities Fund Insured Long-Term Tax-Exempt Fund Intermediate-Term Bond Index Fund Intermediate-Term Corporate Fund Intermediate-Term Tax-Exempt Fund Intermediate-Term Treasury Fund Limited-Term Tax-Exempt Fund Long-Term Bond Index Fund Long-Term Corporate Fund Long-Term Tax-Exempt Fund Long-Term Treasury Fund Short-Term Bond Index Fund Short-Term Corporate Fund Short-Term Federal Fund Short-Term Tax-Exempt Fund Short-Term Treasury Fund State Tax-Exempt Bond Funds (California, Florida, Massachusetts, New Jersey, New York, Ohio, Pennsylvania) Total Bond Market Index Fund MONEY MARKET FUNDS Admiral(TM) Treasury Money Market Fund Federal Money Market Fund Prime Money Market Fund State Tax-Exempt Money Market Funds (California, New Jersey, New York, Ohio, Pennsylvania) Tax-Exempt Money Market Fund Treasury Money Market Fund VARIABLE ANNUITY PLAN Balanced Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Growth Portfolio High-Grade Bond Portfolio High Yield Bond Portfolio International Portfolio Mid-Cap Index Portfolio Money Market Portfolio REIT Index Portfolio Short-Term Corporate Portfolio Small Company Growth Portfolio For information about Vanguard funds and our variable annuity plan, including charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send money. THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
- ------------------------------------------------------------------------------------------------------------------------------ POSITION(S) HELD WITH FUND NAME (NUMBER OF (DATE OF BIRTH) VANGUARD FUNDS TRUSTEE/OFFICER OVERSEEN BY PRINCIPAL OCCUPATION(S) DURING SINCE TRUSTEE) THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------------------------ JOHN J. BRENNAN* Chairman of the Board, Chairman of the Board, Chief Executive Officer,of The Vanguard Group,Inc., (July 29, 1954) Chief Executive Officer, and of each of the investment companies served by The Vanguard Group. May 1987 and Trustee (106) - ------------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Adviser (October 23, 1937) (106) to Greenwich Associates (international business-strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - -------------------------------------------------------------------------------------------------------------------------------- RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (December 23, 1945) (84) Chairman (January-September 1999), and Vice President (prior to December 2001 September 1999)of Rohm and Haas Co. (chemicals); Director of Technitrol,Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - --------------------------------------------------------------------------------------------------------------------------------- JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and Member of the Executive (January 25, 1950) (106) Committee of Johnson & Johnson (pharmaceuticals/consumer products); July 1998 Director of the Medical Center at Princeton and Women's Research and Education Institute. - --------------------------------------------------------------------------------------------------------------------------------- BRUCE K. MACLAURY Trustee President Emeritus of The Brookings Institution (an independent, (May 7, 1931) (86) nonpartisan research organization); Director of the American Express January 1990 Bank, Ltd., The St. Paul Companies, Inc. (insurance and financial services), and the National Steel Corp. - --------------------------------------------------------------------------------------------------------------------------------- BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton (August 28, 1932) (104) University; Director of Prudential Insurance Co. of America, BKF Capital May 1977 (investment management), The Jeffrey Co. (a holding company), and NeuVis, Inc. (a software company). - --------------------------------------------------------------------------------------------------------------------------------- ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (October 8, 1941) (106) Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich January 1993 Corporation (industrial products/aircraft systems and services); Director of the Standard Products Company (a supplier for the automotive industry) until 1998. - --------------------------------------------------------------------------------------------------------------------------------- JAMES O. WELCH, JR. Trustee Retired Chairman of Nabisco Brands, Inc.; retired Vice Chairman (May 13, 1931) (106) and Director of RJR Nabisco; Director of TECO Energy, Inc. September 1971 - --------------------------------------------------------------------------------------------------------------------------------- J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (March 2, 1936) (106) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. thja - ---------------------------------------------------------------------------------------------------------------------------------
activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. - -------------------------------------------------------------------------------- Position(s) Held with Fund Name (Number of (Date of Birth) Vanguard Funds Trustee/Officer Overseen by Principal Occupation(s) During the Since Trustee) Past Five Years - -------------------------------------------------------------------------------- EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of (April 25, 1951) (106) The Vanguard Group, Inc.(since September June 2001 1997); Secretary of The Vanguard Group, and of each of the investment companies served by The Vanguard Group;Principal of The Vanguard Group (prior to Sept- ember 1997). - -------------------------------------------------------------------------------- THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; (May 21, 1957) (106) Treasurer of each of the investment companies July 1998 served by The Vanguard Group. - -------------------------------------------------------------------------------- *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940. More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. VANGUARD SENIOR MANAGEMENT TEAM MORTIMER J. BUCKLEY, Information Technology. F. WILLIAM MCNABB, III, Institutional Investor Group. JAMES H. GATELY, Direct Investor Services. MICHAEL S. MILLER, Planning and Development. KATHLEEN C. GUBANICH, Human Resources. RALPH K. PACKARD, Chief Financial Officer. IAN A. MACKINNON, Fixed Income Group. GEORGE U. SAUTER, Quantitative Equity Group. - -------------------------------------------------------------------------------- JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. - -------------------------------------------------------------------------------- Vanguard, The Vanguard Group, Vanguard.com, Admiral, Explorer, Morgan, LifeStrategy, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc. Standard & Poor's(R), S&P(R), S&P 500(R), and S&P SmallCap 600 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. Calvert Social Index is a trademark of Calvert Group, Ltd., and has been licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and Calvert Group, Ltd., makes no representation regarding the advisability of investing in the fund. All other marks are the property of their respective owners. [SHIP] [THE VANGUARD GROUP(R) LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 ABOUT OUR COVER Our cover photograph was taken by Michael Kahn in September 2000 aboard HMS Rose in New York's Long Island Sound. Mr. Kahn is a renowned photographer--and accomplished sailor--whose work often focuses on seascapes and nautical images. The photograph is copyrighted by Mr. Kahn. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. FOR MORE INFORMATION This report is intended for the funds' shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com(TM). Prospectuses may also be viewed online. FUND INFORMATION 1-800-662-7447 TEXT TELEPHONE 1-800-952-3335 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 WORLD WIDE WEB www.vanguard.com (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q480 022002 VANGUARD9R) U.S. STOCK INDEX FUNDS MID-CAPITALIZATION PORTFOLIOS ANNUAL REPORT - DECEMBER 31, 2001 Stock Vanguard Extended Market Index Fund Vanguard Mid-Cap Index Fund [THE VANGUARD GROUP LOGO] PERSPECTIVE Maintaining a long-term investment perspective isn't easy. Perhaps that's why it has proven to be so rewarding. With news, information, and opinion constantly bombarding us, the temptation to buy or sell--to do something--is powerful. Yet such activity is often counterproductive. Emotions can lead us to big mistakes, like jumping into a hot investment we know little about or selling a sound long-term holding when it sags for a while. The actions we recommend are quite simple. First, take the time to decide on a mix of stocks, bonds, and cash investments that makes sense for you. Take into account your investment time horizon, your goals, and your ability and willingness to ride out market fluctuations. Write this mix down--it's your investment plan. Second, use low-cost, widely diversified mutual funds to carry out your asset allocation. Third, stick with your plan, unless there's a major change in your time horizon, goals, or financial situation. Don't "play the market"--and if you feel you must, don't risk more than a tiny percentage of your assets. Finally, if market news, the opinions of "experts," or the hope of a big score tempts you to act, consult your plan. It may help you keep a long-term perspective. - -------------------------------------------------------------------------------- CONTENTS Letter from the Chairman 1 Fund Profiles 7 Glossary of Investment Terms 9 Performance Summaries 10 Your Fund's After-Tax Returns 13 Financial Statements 14 Advantages of Vanguard.com 62 SUMMARY * Vanguard Extended Market Index Fund returned -9.1% in 2001, while our Mid-Cap Index Fund returned -0.5%. * Both funds met their investment objectives by closely tracking their target indexes, although the Extended Market Index Fund lagged its average peer. * The broad U.S. stock market fell -11.0% for the year, amid sharp declines in technology and telecommunications stocks. Letter from the Chairman [PHOTO JOHN J. BRENNAN] Fellow Shareholder, Mid-capitalization stocks declined during 2001, but held up better than the overall stock market, which fell for the second consecutive year. vanguard(R) mid-cap index fund returned -0.5%. vanguard(R) extended market index fund, which invests in both mid- and small-cap stocks, returned -9.1%. The table below compares the total return (capital change plus reinvested dividends) for each fund with the results of its average peer and its target index. The returns for our funds' Admiral(TM) and Institutional Shares are also shown. Each fund's total return is based on the change in its net asset value during the year and reflects income dividends and capital gains distributions. (See the table that follows this letter for details.) If you own one of our funds in a taxable account, you may wish to review our report on the funds' after-tax returns on page 13. - ------------------------------------------------------------------ 2001 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 - ------------------------------------------------------------------ VANGUARD EXTENDED MARKET INDEX FUND Investor Shares -9.1% Admiral Shares -9.1 Institutional Shares -9.0 Average Mid-Cap Core Fund* -3.6 Wilshire 4500 Completion Index -9.3 - ------------------------------------------------------------------ VANGUARD MID-CAP INDEX FUND Investor Shares -0.5% Admiral Shares 8.1** Institutional Shares -0.4 Average Mid-Cap Core Fund* -3.6 S&P MidCap 400 Index -0.6 - ------------------------------------------------------------------ *Derived from data provided by Lipper Inc. **Since inception on November 12, 2001. FINANCIAL MARKETS IN REVIEW Stock investors were sorely tested in 2001. The longest economic expansion in U.S. history ended in March and a recession began. Corporate profits and stock market valuations were already down sharply before September 11. The terrorist attacks led to a four-day hiatus from stock trading, and stock prices lost more ground when trading resumed. However, a rally took hold in the remainder of the year, reducing the market's losses. For the full 12 months, though, the broad U.S. stock market lost more than 10% of its value, producing its first back-to-back yearly losses since 1973-1974. Technology stocks were especially hard hit, falling -27%. During the first nine months of the year, value-oriented shares outperformed growth stocks--by declining more modestly. But the fourth quarter's upturn brought a reversal: Growth stocks delivered the strongest gains. Small-capitalization stocks bested large ones throughout the 1 - -------------------------------------------------------------------------------- Market Barometer Average Annual Total Returns Periods Ended December 31, 2001 - -------------------------------------------------------------------------------- One Three Five Year Years Years - -------------------------------------------------------------------------------- STOCKS S&P 500 Index (Large-caps) -11.9% -1.0% 10.7% Russell 2000 Index (Small-caps) 2.5 6.4 7.5 Wilshire 5000 Index (Entire market) -11.0 -0.7 9.7 MSCI EAFE Index (International) -22.0 -5.3 0.7 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index (Entire market) 8.4% 6.3% 7.4% Lehman 10 Year Municipal Bond Index 4.6 4.6 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 4.1 4.9 5.0 ================================================================================ CPI Consumer Price Index 1.6% 2.5% 2.2% ================================================================================ year. On balance, stocks declined -11.0%, as measured by the Wilshire 5000 Total Market Index. The dismal environment for stocks proved to be a tonic for bonds. In an aggressive attempt to jump-start the flagging U.S. economy, the Federal Reserve Board slashed interest rates 11 times. As shown in the chart below, the Fed pushed its target for short-term interest rates from 6.50% to 1.75%--the lowest level in four decades. Lower interest rates translated into meaningful price gains for most high-quality bonds. For the year, the Lehman Brothers Aggregate Bond Index, a measure of the entire market for investment-grade U.S. bonds, returned 8.4%. Of course, lower rates can be tough on investors who depend on fixed income securities for current income. By the end of the year, the yield of the 3-month U.S. Treasury bill had plunged to 1.72%, down from 5.90% at the beginning of the year and roughly even with the rate of inflation. As a result, most short-term investment vehicles were providing minuscule "real," or inflation-adjusted, returns. The yields of the 10-year Treasury note and A RECORD NUMBER OF INTEREST RATE CUTS (12 MONTHS ENDED DECEMBER 31, 2001) In 2001, the Federal Reserve Board lowered its target for short-term interest rates a record 11 times. By repeatedly reducing the federal funds rate--the interest rate that banks charge each other for overnight loans made through the Federal Reserve System-- the Fed hoped to encourage investment and economic growth. 12/31/2000 6.5 1/3/2001 6 1/31/2001 5.5 2/28/2001 5.5 3/20/2001 5 4/18/2001 4.5 5/15/2001 4 6/27/2001 3.75 7/30/2001 3.75 8/21/2001 3.5 8/31/2001 3.5 9/17/2001 3 10/2/2001 2.5 11/6/2201 2 12/11/2001 1.75 - -------------------------------------------------------------------------------- Source: Federal Reserve Board. 2 the 30-year Treasury bond finished 2001 little changed, at 5.05% and 5.47%, respectively. International stock markets generally followed the U.S. market's descent. The Morgan Stanley Capital International Europe, Australasia, Far East (EAFE) Index, a measure of equity returns in 21 developed markets, fell -22.0% in dollars for the 12 months. 2001 PERFORMANCE OVERVIEW VANGUARD EXTENDED MARKET INDEX FUND declined for the second consecutive year in 2001, and its -9.1% return lagged the -3.6% average return of competing mid-cap stock funds. In comparison with its average peer, the fund was hurt by sharp declines in some stocks that were relatively new to the target index, the Wilshire 4500. The index adds stocks soon after their initial public offerings--a policy that led to the inclusion of many Internet-related stocks in the late 1990s and in early 2000. Such stocks generally continued to plummet in 2001 in the wake of the "dot-com" collapse. There was, however, some good news for shareholders in the Extended Market Index Fund in 2001: For the third consecutive year, the fund's result was better than that of its unmanaged benchmark. That means that the fund once again recouped all of its operating and transaction costs--and then some. Such costs are not borne by the index, which is merely a theoretical construct designed to allow investors to track the gross performance of mid- and small-cap stocks. That said, we recognize that the satisfaction of edging the index is limited in a down year, and we thank shareholders for sticking with their investment during these trying times. We added to the Extended Market Index Fund a new class of shares--VIPER(TM) Shares--that are listed on the American Stock Exchange. Investors who want intraday liquidity can buy or sell VIPER shares throughout the trading day. VIPER Shares were issued to specialists on the exchange on December 27, and began trading on January 4. VANGUARD MID-CAP INDEX FUND'S -0.5% return in 2001 was the first calendar-year decline in its brief history. The fund's return was notably better than that of the Extended Market Index Fund because the Standard & Poor's index that it tracks excludes companies with less than three years of operating earnings. As a result, the Mid-Cap Index Fund was never exposed--on the upside or the downside--to many of the newer technology and telecommunications stocks that ultimately hurt the returns of the Extended Market Index Fund in 2000 and 2001. ------------------------ Vanguard Extended Market Index Fund declined for the second consecutive year in 2001, and lagged the average result of competing mid-cap stock funds by 5.5 percentage points. 3 The Mid-Cap Index Fund outpaced the average mid-cap core fund by 3.1 percentage points. The fund also overcame its operating and transaction costs to edge the result of its target index. LONG-TERM PERFORMANCE OVERVIEW The table below presents the average annual returns for the past decade for our Extended Market Index Fund and for the lifetime of our Mid-Cap Index Fund, which began operations May 21, 1998. The table also shows the average annual returns for our comparative measures and how hypothetical $10,000 investments in each would have fared through December 31, 2001. TOTAL RETURNS TEN YEARS ENDED DECEMBER 31, 2001* ---------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- Extended Market Index Fund Investor Shares 11.1% $28,571 Average Mid-Cap Core Fund 14.1 37,389 Wilshire 4500 Index 10.7 27,574 - -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares 11.3% $14,709 Average Mid-Cap Core Fund 9.9 14,061 S&P MidCap 400 Index 10.7 14,453 - -------------------------------------------------------------------------------- *For Mid-Cap Index Fund and comparative measures, returns are since the fund's inception on May 21, 1998. The EXTENDED MARKET INDEX FUND delivered an average annual return of 11.1% over the past decade, 3 percentage points less than the average mid-cap core mutual fund. We lagged for two reasons. First, most actively managed mid-cap funds invest in some large-cap stocks. (The median market capitalization of our average peer is more than four times that of the Extended Market Index Fund--$8.1 billion versus $1.8 billion). Large-cap stocks led the market for much of the past decade, boosting the average result of our peers. The second reason, which we addressed earlier, was the collapse of the tech bubble and the resulting shortfall versus competing funds over the last two years. The Extended Market Index Fund's average annual return during the ten years ended December 31, 1999, was much closer to the average result of competing funds: 16.3% versus 17.6%. The MID-CAP INDEX FUND has outpaced its average competitor by 1.4 percentage points, on an average annual basis, during its 31/2-year lifetime. The construction of the fund's target index helps to explain this result. As we noted earlier, the S&P indexes do not add newly created companies that lack operating histories. The Mid-Cap Index Fund thus badly lagged its peer group during the dot-com boom of 1999. Of course, the fund was spared much of the damage from the collapse of some of those stocks during 2001, and has made up all the ground it had lost. The inherent advantages of indexing--low operating and transaction costs, broad diversification, and a commitment to remaining fully invested 4 in the target market segment--have proven themselves over the long haul. In some years, a majority of actively managed funds will outpace the indexes. But over long periods, it is very difficult for actively managed funds to overcome the handicap of the operating and transaction costs they incur. For the individual investor, figuring out--in advance--which of the many actively managed contenders will be future "winners" is, more often than not, an unrewarding task. Our index funds have historically provided an element of predictability in an uncertain world--they have closely tracked their index benchmarks year after year. Indeed, as the table on page 4 shows, each fund has been able to slightly outpace its target index. Some slight deviation from the benchmarks is expected as the funds incur transaction costs when rebalancing in response to changes in their target indexes. And, in the case of the Extended Market Index Fund, some slight deviation may occur because we use a sampling technique to track its index, thus avoiding the cost and inefficiency of purchasing shares in every stock in the Wilshire 4500. Because the funds incur transaction costs not suffered by the indexes, Vanguard's Quantitative Equity Group looks for opportunities to add marginal value to the funds whenever possible. We recognize the superb efficiency with which the Quantitative Equity Group manages all of our indexed stock portfolios. Indeed, efficiency in the index fund's management and operations is central to Vanguard's cost advantage. Our economical cost structure furthermore makes us confident that our funds' long-term performance will be solid. Our mid-cap index funds had expense ratios (annual costs as a percentage of average net asset value) in 2001 ranging from 0.10% for Institutional Shares to 0.25% for Investor Shares in both funds. By comparison, the average expense ratio charged by our peer funds was 1.43%. Our competitors thus have to generate a gross return that is more than a percentage point higher than ours--year in, year out--to achieve the same net return. During 2001, Vanguard marked the 25th anniversary of the industry's first index mutual fund, Vanguard(R) 500 Index Fund. When we introduced that fund in 1976, critics dismissed it as a sure path to "mediocrity." But indexing's long-term track record has forced some of the critics to offer index funds of their own. And millions of investors have come to embrace indexing as a sensible long-term approach to participating in the financial markets. --------------------- During 2001, Vanguard celebrated 25 years of offering index mutual funds. Though scorned at first, indexing has since won over millions of investors. IN SUMMARY Attentive investors can learn important lessons from the financial markets in just about any year. During 2001, the markets underscored the inherent unpredictability of events--both financial and non 5 financial. Because history has shown that it is counterproductive to invest by trying to predict the short-term direction of the markets, we have long advocated a simple, long-term approach to dealing with uncertainty and unpredictability. We recommend that you maintain a balanced portfolio diversified across market segments and asset classes--stocks, bonds, and short-term investments--in relatively fixed proportions that are appropriate for your goals, time horizon, and risk tolerance. Mid- and small-capitalization stocks are sensible components of such a portfolio. Once you have established your plan, ignore the "noise" and stay the course toward your long-term objectives. We thank you for entrusting your hard-earned dollars to us. Sincerely, /S/ JOHN J. BRENNAN John J. Brennan Chairman and Chief Executive Officer January 14, 2002 - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DISTRIBUTIONS SHARE PRICE PER SHARE STARTING: ENDING: CAPITAL INCOME DEC. 31, 2000 DEC. 31, 2001 GAINS DIVIDENDS - -------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND Investor Shares $26.61 $23.09 $0.810 $0.210 Admiral Shares 26.61 23.09 0.810 0.220 Institutional Shares 26.62 23.09 0.810 0.245 VIPER Shares 60.94* 60.99 -- -- - -------------------------------------------------------------------------------- MID-CAP INDEX FUND Investor Shares $12.21 $11.81 $0.245 $0.070 Admiral Shares 50.00* 53.56 0.158 0.320 Institutional Shares 12.23 11.83 0.245 0.086 - -------------------------------------------------------------------------------- *At inception: November 12, 2001, for Mid-Cap Index Fund Admiral Shares and December 27, 2001, for Extended Market Index VIPER Shares. 6 FUND PROFILE AS OF DECEMBER 31, 2001 FOR EXTENDED MARKET INDEX FUND This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 9. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 3,026 5,564 6,054 Median Market Cap $1.8B $1.8B $33.4B Price/Earnings Ratio 39.4x 39.4x 30.7x Price/Book Ratio 2.3x 2.3x 3.3x Yield 1.1% 1.3% Investor Shares 0.8% Admiral Shares 0.9% Institutional Shares 1.0% VIPER Shares 1.0% Return on Equity 14.5% 14.5% 22.6% Earnings Growth Rate 14.2% 14.2% 14.5% Foreign Holdings 0.0% 0.0% 0.0% Turnover Rate 20% -- -- Expense Ratio Investor Shares 0.25% -- -- Admiral Shares 0.20% -- -- Institutional Shares 0.10% -- -- VIPER Shares 0.20** -- -- Cash Investments 0.0% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Berkshire Hathaway Inc. Class A 4.3% (financial services) Liberty Media Corp. 1.2 (media) Cox Communications, Inc. Class A 0.9 (telecommunications) The Goldman Sachs Group, Inc. 0.7 (financial services) eBay Inc. 0.7 (diversified services) United Parcel Service, Inc. 0.7 (transportation) Prudential Financial, Inc. 0.6 (insurance) General Motors Corp. Class H 0.5 (telecommunications) Genentech, Inc. 0.4 (biotechnology) Gemstar-TV Guide International, Inc. 0.4 (media) - -------------------------------------------------------------------------------- Top Ten 10.4% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.75 1.00 Beta 1.00 1.00 1.35 1.00 - -------------------------------------------------------------------------------- - -------------------------------- INVESTMENT FOCUS Market Cap Medium Style Blend - -------------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Auto & Transportation 2.9% 2.9% 2.0% Consumer Discretionary 19.7 19.6 14.8 Consumer Staples 2.8 2.8 6.4 Financial Services 22.6 22.6 20.3 Health Care 12.6 12.6 14.2 Integrated Oils 0.2 0.2 3.5 Other Energy 4.1 4.1 2.1 Materials & Processing 5.3 5.3 3.3 Producer Durables 4.5 4.5 3.4 Technology 14.1 14.1 16.6 Utilities 6.0 6.0 8.1 Other 5.2 5.3 5.3 - -------------------------------------------------------------------------------- *Wilshire 4500 Completion Index. **Annualized. [COMPUTER] Visit our website WWW.VANGUARD.COM for regularly updated fund information. 7 FUND PROFILE AS OF DECEMBER 31, 2001 FOR MID-CAP INDEX FUND This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 9. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 407 400 6,054 Median Market Cap $2.6B $2.6B $33.4B Price/Earnings Ratio 27.2x 27.2x 30.7x Price/Book Ratio 2.5x 2.5x 3.3x Yield 1.1% 1.3% Investor Shares 0.9% Admiral Shares 0.9% Institutional Shares 1.0% Return on Equity 16.6% 16.6% 22.6% Earnings Growth Rate 14.1% 14.1% 14.5% Foreign Holdings 0.4% 0.4% 0.0% Turnover Rate 24% -- -- Expense Ratio Investor Shares 0.25% -- -- Admiral Shares 0.20%** -- -- Institutional Shares 0.10% -- -- Cash Investments 0.2% -- -- - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) IDEC Pharmaceuticals Corp. 1.2% (biotechnology) Electronic Arts Inc. 1.0 (computer software/services) SunGard Data Systems, Inc. 0.9 (computer software/services) M & T Bank Corp. 0.8 (banking) Quest Diagnostics, Inc. 0.8 (health care) Marshall & Ilsley Corp. 0.8 (banking) Affiliated Computer 0.7 Services, Inc. Class A (computer software/services) Gilead Sciences, Inc. 0.7 (pharmaceuticals) DST Systems, Inc. 0.7 (computer software/services) SPX Corp. 0.6 (manufacturing) - -------------------------------------------------------------------------------- Top Ten 8.2% - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - -------------------------------------------------------------------------------- R-Squared 1.00 1.00 0.76 1.00 Beta 1.00 1.00 0.96 1.00 - -------------------------------------------------------------------------------- - ------------------------- INVESTMENT FOCUS Market Cap Medium Style Blend - ------------------------- - -------------------------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Auto & Transportation 3.1% 3.1% 2.0% Consumer Discretionary 15.3 15.5 14.8 Consumer Staples 4.4 4.4 6.4 Financial Services 24.0 23.8 20.3 Health Care 12.0 12.3 14.2 Integrated Oils 0.5 0.5 3.5 Other Energy 5.4 5.4 2.1 Materials & Processing 6.5 6.5 3.3 Producer Durables 4.3 5.6 3.4 Technology 14.4 13.0 16.6 Utilities 8.1 8.1 8.1 Other 2.0 1.8 5.3 - -------------------------------------------------------------------------------- *S&P MidCap 400 Index. **Annualized. 8 Glossary of Investment Terms BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index benchmark and an overall market index. Each index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the index rose or fell by 10%. - -------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by the fund's target index benchmark and by an overall market index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - -------------------------------------------------------------------------------- 9 Performance Summary As of December 31, 2001 for Extended Market Index Fund All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. CUMULATIVE PERFORMANCE DECEMBER 31, 1991-DECEMBER 31, 2001 QUARTER EXTENDED MKT AVERAGE MID-CAP WILSHIRE 4500 WILSHIRE 5000 ENDED INDEX INV CORE FUND INDEX INDEX 199112 10000 10000 10000 10000 199203 10151 10158 10129 9867 199206 9795 9363 9716 9855 199209 10081 9671 10006 10157 199212 11247 11157 11187 10897 199303 11701 11443 11638 11361 199306 11856 11781 11817 11446 199309 12686 12647 12679 11910 199312 12876 13086 12817 12126 199403 12473 12741 12352 11674 199406 12139 12247 11974 11583 199409 12940 13111 12796 12213 199412 12649 12924 12476 12119 199503 13585 13829 13420 13213 199506 14807 15278 14566 14447 199509 16515 16753 16210 15767 199512 16924 16837 16653 16536 199603 17967 17755 17636 17465 199606 18693 18827 18441 18234 199609 19178 19078 18834 18750 199612 19911 19819 19514 20044 199703 19218 18761 18688 20173 199706 22241 21730 21574 23580 199709 25595 24861 24882 25881 199712 25233 24120 24527 26315 199803 28138 27028 27371 29805 199806 27524 26502 26834 30385 199809 22378 21167 21882 26730 199812 27331 26199 26643 32481 199903 27146 25744 26598 33707 199906 30525 29026 29666 36338 199909 28741 27682 27835 33934 199912 37230 36225 36099 40133 200003 40836 41249 39690 41665 200006 37290 39939 36223 39797 200009 38702 41791 37530 39863 200012 31443 38797 30408 35745 200103 26494 36419 25581 31334 200106 30282 40354 29190 33676 200109 23907 32639 23075 28322 200112 28571 37389 27574 31826 AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 FINAL VALUE ------------------------------- ONE FIVE TEN OF A $10,000 YEAR YEARS YEARS INVESTMENT - -------------------------------------------------------------------------------- Extended Market Index Fund Investor Shares* -9.13% 7.49% 11.07% $28,571 Average Mid-Cap Core Fund** -3.63 13.54 14.10 37,389 Wilshire 4500 Index -9.32 7.16 10.67 27,574 Wilshire 5000 Index -10.96 9.69 12.27 31,826 - -------------------------------------------------------------------------------- FINAL VALUE OF ONE SINCE A $250,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Extended Market Index Fund Admiral Shares -9.09% -11.59% $217,491 Wilshire 4500 Index -9.32 -13.30 216,751 - -------------------------------------------------------------------------------- FINAL VALUE OF ONE SINCE A $10,000,000 YEAR INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Extended Market Index Fund Institutional Shares -9.03% 5.54% $12,733,185 Wilshire 4500 Index -9.32 5.28 12,596,776 - -------------------------------------------------------------------------------- FINAL VALUE OF RETURN SINCE A $10,000 INCEPTION+ INVESTMENT - -------------------------------------------------------------------------------- Extended Market Index Fund VIPER Shares 0.08% $10,008 Wilshire 4500 Index 0.14 10,014 - -------------------------------------------------------------------------------- * Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. ** Derived from data provided by Lipper Inc. + Inception dates are: for Admiral Shares, November 13, 2000; for Institutional Shares, July 7, 1997; for VIPER Shares, December 27, 2001. Note: See Financial Highlights tables on pages 53-55 for dividend and capital gains information. 10 - -------------------------------------------------------------------------------- Total Investment Returns (%) December 31, 1991-December 31, 2001 FISCAL YEAR EXTENDED WILSHIRE MARKET 4500 INDEX 1992 12.5 11.9 1993 14.5 14.6 1994 -1.8 -2.7 1995 33.8 33.5 1996 17.6 17.2 1997 26.7 25.7 1998 8.3 8.6 1999 36.2 35.5 2000 -15.5 -15.8 2001 -9.1 -9.3 - -------------------------------------------------------------------------------- 11 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2001 FOR MID-CAP INDEX FUND All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. CUMULATIVE PERFORMANCE MAY 21, 1998- DECEMBER 31, 2001 QUARTER MID-CAP AVERAGE MID-CAP S&P MIDCAP WILSHIRE 5000 ENDED INDEX FUND INV CORE FUND 400 INDEX INDEX 5/21/1998 10000 10000 10000 10000 199806 9851 9965 9838 10113 199809 8436 8030 8415 8897 199812 10855 9853 10787 10811 199903 10176 9702 10098 11219 199906 11628 10909 11528 12095 199909 10674 10502 10560 11295 199912 12518 13623 12375 13358 200003 14136 15545 13945 13868 200006 13687 15010 13485 13246 200009 15346 15855 15123 13268 200012 14783 14590 14541 11897 200103 13186 13725 12975 10429 200106 14927 15167 14682 11209 200109 12470 12383 12250 9427 200112 14709 14061 14453 10593 AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 --------------------------------- FINAL VALUE ONE SINCE OF A $10,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Mid-Cap Index Fund Investor Shares** -0.50% 11.27% $14,709 Average Mid-Cap Core FundY -3.63 9.89 14,061 S&P MidCap 400 Index -0.60 10.73 14,453 Wilshire 5000 Index -10.96 1.61 10,593 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FINAL VALUE RETURN SINCE OF A $250,000 INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Mid-Cap Index Fund Admiral Shares 8.06% $270,162 S&P MidCap 400 Index 8.99 272,481 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Mid-Cap Index Fund Institutional Shares -0.37% 11.43% $14,785,901 S&P MidCap 400 Index -0.60 10.73 14,453,243 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) MAY 21, 1998- DECEMBER 31, 2001 FISCAL MID-CAP S&P MIDCAP YEAR INDEX FUND 400 INDEX 1998 8.6 7.9 1999 15.3 14.7 2000 18.1 17.5 2001 -0.5 -0.6 - -------------------------------------------------------------------------------- * Inception dates are: for Investor and Institutional Shares, May 21, 1998; for Admiral Shares, November 12, 2001. ** Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. + Derived from data provided by Lipper Inc. Note: See Financial Highlights tables on pages 55-56 for dividend and capital gains information. 12 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for each fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the examples that assume all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 ONE YEAR FIVE YEARS* TEN YEARS ---------------------------------------- EXTENDED MARKET INDEX FUND INVESTOR SHARES** Returns Before Taxes -9.13% 7.49% 11.07% Returns After Taxes on Distributions -10.18 4.99 9.12 Returns After Taxes on Distributions and Sale of Fund Shares -5.07 5.67 8.84 - -------------------------------------------------------------------------------- MID-CAP INDEX FUND INVESTOR SHARES** Returns Before Taxes -0.50% 11.27% -- Returns After Taxes on Distributions -1.25 8.96 -- Returns After Taxes on Distributions and Sale of Fund Shares -0.03 8.10 -- - -------------------------------------------------------------------------------- * For the Mid-Cap Index Fund, returns are annualized since inception on May 21, 1998. ** Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 13 13 FINANCIAL STATEMENTS DECEMBER 31, 2001 STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.8%)(1) - -------------------------------------------------------------------------------- * Berkshire Hathaway Inc. Class A 2,621 198,148 * Liberty Media Corp. 4,096,521 57,351 * Cox Communications, Inc. Class A 989,252 41,460 The Goldman Sachs Group, Inc. 341,747 31,697 * eBay Inc. 473,022 31,645 United Parcel Service, Inc. 576,868 31,439 * Prudential Financial, Inc. 780,500 25,905 * General Motors Corp. Class H 1,509,407 23,320 * Genentech, Inc. 367,910 19,959 * Gemstar-TV Guide International, Inc. 712,632 19,740 * IDEC Pharmaceuticals Corp. 260,229 17,938 Kraft Foods Inc. 484,414 16,485 * USA Networks, Inc. 541,431 14,787 * The Principal Financial Group 613,612 14,727 * VeriSign, Inc. 382,054 14,533 * Electronic Arts Inc. 232,702 13,950 * Fox Entertainment Group, Inc. Class A 513,775 13,630 * SunGard Data Systems, Inc. 465,829 13,476 * Brocade Communications Systems, Inc. 395,319 13,093 Intimate Brands, Inc. 846,318 12,576 M & T Bank Corp. 167,158 12,177 * Quest Diagnostics, Inc. 162,215 11,632 GlobalSantaFe Corp. 402,120 11,468 * EchoStar Communications Corp. 415,948 11,426 Marshall & Ilsley Corp. 178,265 11,281 * CNA Financial Corp. 380,416 11,097 * Cablevision Systems- NY Group Class A 229,602 10,895 * Gilead Sciences, Inc. 163,649 10,755 * Affiliated Computer Services, Inc. Class A 100,796 10,698 * BEA Systems, Inc. 689,304 10,615 * DST Systems, Inc. 211,578 10,547 * Juniper Networks, Inc. 556,335 10,543 UnionBanCal Corp. 271,370 10,312 * Laboratory Corp. of America Holdings 121,389 9,814 R.J. Reynolds Tobacco Holdings, Inc. 167,536 9,432 * Cadence Design Systems, Inc. 430,297 9,432 * SPX Corp. 68,848 9,425 * BJ Services Co. 283,975 9,215 * Millennium Pharmaceuticals, Inc. 375,896 9,213 Telephone & Data Systems, Inc. 100,860 9,052 * Apollo Group, Inc. Class A 201,110 9,052 E.W. Scripps Co. Class A 136,948 9,039 * Metro-Goldwyn-Mayer Inc. 412,391 9,031 North Fork Bancorp, Inc. 280,606 8,977 National Commerce Financial Corp. 354,613 8,972 Plum Creek Timber Company Inc. 309,305 8,769 * Microchip Technology, Inc. 226,328 8,768 Simon Property Group, Inc. REIT 296,006 8,682 Washington Post Co. Class B 16,341 8,661 14 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Andrx Corp.-Andrx Group 121,061 8,524 SEI Corp. 187,328 8,450 * Adelphia Communications Corp. Class A 270,611 8,438 * American Standard Cos., Inc. 123,464 8,424 * Charter Communications, Inc. 508,233 8,350 * CDW Computer Centers, Inc. 152,138 8,171 Transatlantic Holdings, Inc. 89,315 8,128 Mylan Laboratories, Inc. 215,988 8,100 * Symantec Corp. 121,762 8,077 First Tennessee National Corp. 221,495 8,031 * MGM Mirage, Inc. 275,283 7,947 Archstone-Smith Trust REIT 296,755 7,805 * Sepracor Inc. 134,779 7,691 * Anthem, Inc. 152,553 7,551 * Human Genome Sciences, Inc. 220,992 7,452 * Weatherford International, Inc. 196,229 7,312 American Water Works Co., Inc. 171,802 7,173 ServiceMaster Co. 518,945 7,161 Dime Bancorp, Inc. 198,210 7,151 * Agere Systems Inc. 1,256,182 7,148 AVX Corp. 301,800 7,119 Total System Services, Inc. 334,913 7,093 * AutoNation, Inc. 571,909 7,052 Diamond Offshore Drilling, Inc. 230,101 6,995 Vornado Realty Trust REIT 168,020 6,990 Estee Lauder Cos. Class A 217,344 6,968 * IVAX Corp. 344,609 6,940 Tyson Foods, Inc. 600,009 6,930 * Amazon.com, Inc. 637,147 6,894 Radian Group, Inc. 160,113 6,877 Popular, Inc. 234,904 6,831 * U.S. Cellular Corp. 148,748 6,731 * Smurfit-Stone Container Corp. 419,520 6,700 * Rational Software Corp. 337,106 6,574 Murphy Oil Corp. 78,137 6,567 Public Storage, Inc. REIT 196,162 6,552 * E*TRADE Group, Inc. 637,764 6,537 * Caremark Rx, Inc. 398,692 6,503 TCF Financial Corp. 135,524 6,502 * Cephalon, Inc. 86,014 6,501 ProLogis Trust REIT 301,546 6,486 Federated Investors, Inc. 203,070 6,474 * BISYS Group, Inc. 100,337 6,421 Hormel Foods Corp. 238,736 6,415 * Express Scripts Inc. 135,081 6,316 Compass Bancshares Inc. 221,745 6,275 Green Point Financial Corp. 174,233 6,229 * Synopsys, Inc. 104,248 6,158 A.G. Edwards & Sons, Inc. 138,705 6,127 * Network Associates, Inc. 236,770 6,121 Ultramar Diamond Shamrock Corp. 123,280 6,100 Golden State Bancorp Inc. 233,019 6,093 * L-3 Communications Holdings, Inc. 67,289 6,056 * Lamar Advertising Co. Class A 142,439 6,031 * Dollar Tree Stores, Inc. 193,774 5,990 Hillenbrand Industries, Inc. 107,895 5,963 Boston Properties, Inc. REIT 156,504 5,947 Banknorth Group, Inc. 263,538 5,935 * Atmel Corp. 801,549 5,907 ENSCO International, Inc. 235,918 5,863 Apartment Investment & Management Co. Class A REIT 128,069 5,857 * Republic Services, Inc. Class A 293,265 5,857 * ICOS Corp. 101,636 5,838 * ImClone Systems, Inc. 125,346 5,824 * Barr Laboratories, Inc. 72,833 5,780 Old Republic International Corp. 204,511 5,728 * i2 Technologies, Inc. 720,309 5,690 * PanAmSat Corp. 258,545 5,657 Ocean Energy, Inc. 293,842 5,642 * Invitrogen Corp. 91,098 5,642 Legg Mason Inc. 112,648 5,630 * Westwood One, Inc. 187,149 5,624 Avalonbay Communities, Inc. REIT 118,676 5,615 * Weight Watchers International, Inc. 163,982 5,546 * BJ's Wholesale Club, Inc. 125,386 5,530 * Emulex Corp. 139,789 5,523 Duke Realty Corp REIT 226,256 5,505 Kimco Realty Corp. REIT 168,147 5,497 * Vishay Intertechnology, Inc. 280,280 5,465 Neuberger Berman Inc. 124,172 5,451 * ChoicePoint Inc. 107,303 5,439 * RF Micro Devices, Inc. 281,474 5,413 Royal Caribbean Cruises, Ltd. 331,100 5,364 * Lincare Holdings, Inc. 185,350 5,310 Mercantile Bankshares Corp. 122,790 5,285 DPL Inc. 218,681 5,266 * Polycom, Inc. 154,226 5,255 Sovereign Bancorp, Inc. 425,983 5,214 * Cytyc Corp. 199,566 5,209 Avnet, Inc. 204,017 5,196 The PMI Group Inc. 76,951 5,157 Lennar Corp. 109,783 5,140 * Brinker International, Inc. 172,632 5,138 * TIBCO Software Inc. 343,761 5,132 Expeditors International of Washington, Inc. 89,818 5,115 * Arrow Electronics, Inc. 170,526 5,099 * Dean Foods Co. 74,321 5,069 SCANA Corp. 180,246 5,016 * Oxford Health Plan 166,428 5,016 * Abgenix, Inc. 148,699 5,002 15 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.8%)(1) - -------------------------------------------------------------------------------- Diebold, Inc. 123,593 4,998 McCormick & Co., Inc. 118,744 4,984 * Mohawk Industries, Inc. 90,422 4,962 * LAM Research Corp. 213,388 4,955 * Protein Design Labs, Inc. 150,503 4,937 UtiliCorp United, Inc. 196,088 4,936 * Intersil Corp. 153,017 4,935 * The Dun & Bradstreet Corp. 138,390 4,885 * Peregrine Systems, Inc. 329,346 4,884 Hibernia Corp. Class A 273,453 4,865 * Fairchild Semiconductor Corp. 172,230 4,857 Arthur J. Gallagher & Co. 140,093 4,832 * Hispanic Broadcasting Corp. 188,652 4,811 * Integrated Device Technology Inc. 180,815 4,808 * Patterson Dental Co. 116,760 4,779 * McDATA Corp. Class A 193,405 4,738 * Ceridian Corp. 251,747 4,720 * Apogent Technologies Inc. 182,749 4,715 ICN Pharmaceuticals, Inc. 140,213 4,697 * Park Place Entertainment 512,008 4,695 * Smith International, Inc. 87,316 4,682 * Orion Power Holdings, Inc. 179,067 4,674 Mitchell Energy & Development Corp. Class A 87,121 4,644 * Health Net Inc. 212,718 4,633 Hudson City Bancorp, Inc. 175,344 4,620 Beckman Coulter, Inc. 104,243 4,618 Unitrin, Inc. 116,590 4,608 Wisconsin Energy Corp. 203,733 4,596 Alliant Energy Corp. 151,195 4,590 Bowater Inc. 95,871 4,573 * KPMG Consulting Inc. 275,158 4,559 * Abercrombie & Fitch Co. 171,130 4,540 * Outback Steakhouse 131,814 4,515 * AmeriCredit Corp. 142,828 4,506 * Rite Aid Corp. 889,061 4,499 DENTSPLY International Inc. 89,524 4,494 Ross Stores, Inc. 139,465 4,474 * Amkor Technology, Inc. 278,239 4,460 Commerce Bancshares, Inc. 114,244 4,454 Valley National Bancorp 134,759 4,440 Waddell & Reed Financial, Inc. 137,834 4,438 * Universal Health Services Class B 103,586 4,431 John Nuveen Co. Class A 82,542 4,414 Lafarge North America Inc. 117,257 4,405 Manpower Inc. 130,676 4,405 Commerce Bancorp, Inc. 111,321 4,379 Sonoco Products Co. 164,702 4,378 * Trigon Healthcare, Inc. 62,847 4,365 * Community Health Systems, Inc. 171,140 4,364 Northeast Utilities 247,230 4,359 Fastenal Co. 65,591 4,357 * Cypress Semiconductor Corp. 217,691 4,339 * AdvancePCS 146,794 4,308 Astoria Financial Corp. 162,736 4,306 * WebMD Corp. 608,307 4,295 * Semtech Corp. 119,698 4,272 Erie Indemnity Co. Class A 110,772 4,264 Eaton Vance Corp. 119,668 4,254 D. R. Horton, Inc. 131,005 4,252 Allied Capital Corp. 163,456 4,250 C.H. Robinson Worldwide, Inc. 146,500 4,236 Potomac Electric Power Co. 187,656 4,235 * Smithfield Foods, Inc. 191,363 4,218 * Iron Mountain, Inc. 96,230 4,215 * Lear Corp. 110,249 4,205 * Williams-Sonoma, Inc. 97,632 4,188 * First Health Group Corp. 168,690 4,173 * Security Capital Group Inc. Class B REIT 164,434 4,172 * Enzon, Inc. 74,099 4,170 * Micrel, Inc. 158,712 4,163 * Celgene Corp. 130,277 4,158 * Certegy, Inc. 121,164 4,146 * Krispy Kreme Doughnuts, Inc. 93,500 4,133 New York Community Bancorp, Inc. 180,461 4,127 * Varian Medical Systems, Inc. 57,679 4,110 Mercury General Corp. 94,125 4,109 NSTAR 91,581 4,107 Host Marriott Corp. REIT 454,970 4,095 Clayton Homes Inc. 238,310 4,075 Allmerica Financial Corp. 91,215 4,064 Reader's Digest Assn., Inc. Class A 176,039 4,063 First Virginia Banks, Inc. 79,971 4,059 * Whole Foods Market, Inc. 93,025 4,052 Valero Energy Corp. 106,147 4,046 * Tech Data Corp. 93,403 4,042 Associated Banc-Corp 114,178 4,029 Omnicare, Inc. 161,719 4,024 FirstMerit Corp. 148,202 4,015 White Mountains Insurance Group Inc. 11,505 4,004 * Crown Castle International Corp. 371,497 3,968 * Entercom Communications Corp. 78,502 3,925 * TeleCorp PCS, Inc. 313,106 3,904 Cabot Corp. 108,885 3,887 City National Corp. 82,900 3,884 Wesco Financial Corp. 12,305 3,876 The St. Joe Co. 138,975 3,857 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Talbots Inc. 106,245 3,851 * Lattice Semiconductor Corp. 187,149 3,850 American National Insurance Co. 45,710 3,844 Equitable Resources, Inc. 112,363 3,828 Martin Marietta Materials, Inc. 82,109 3,826 Energy East Corp. 200,669 3,811 AMB Property Corp. REIT 145,894 3,793 Liberty Property Trust REIT 126,872 3,787 * Cooper Cameron Corp. 93,624 3,779 * Foot Locker, Inc. 241,227 3,775 * Affymetrix, Inc. 99,935 3,773 Conectiv, Inc. 153,992 3,771 * International Rectifier Corp. 108,044 3,769 iStar Financial Inc. REIT 150,496 3,755 * Storage Technology Corp. 181,329 3,748 XTO Energy, Inc 212,816 3,724 * 3Com Corp. 582,691 3,718 PepsiAmericas, Inc. 269,285 3,716 * Cree, Inc. 126,068 3,714 * CSG Systems International, Inc. 91,525 3,702 The McClatchy Co. Class A 78,661 3,697 * Copart, Inc. 101,440 3,689 Fidelity National Financial, Inc. 148,357 3,679 * Michaels Stores, Inc. 111,150 3,662 Investors Financial Services Corp. 54,975 3,640 Viad Corp. 153,192 3,628 * Expedia Inc. 89,260 3,625 International Speedway Corp. 92,056 3,599 * Triad Hospitals, Inc. 122,233 3,588 * DaVita, Inc. 146,592 3,584 * BroadWing Inc. 376,804 3,580 Allete, Inc 141,696 3,571 Wilmington Trust Corp. 56,278 3,563 Belo Corp. Class A 189,962 3,562 Tidewater Inc. 105,040 3,561 * Perot Systems Corp. 174,039 3,554 General Growth Properties Inc. REIT 91,225 3,540 Pacific Century Financial Corp. 135,293 3,503 Health Care Properties Investors REIT 96,636 3,499 Rouse Co. REIT 119,367 3,496 * Western Wireless Corp. Class A 123,668 3,494 * Amphenol Corp. 72,698 3,493 Questar Corp. 139,317 3,490 Harris Corp. 114,252 3,486 * Overture Services, Inc. 98,337 3,484 Noble Affiliates, Inc. 98,473 3,475 * Pride International, Inc. 229,908 3,472 * Gentex Corp. 128,674 3,439 * Nextel Partners, Inc. 286,394 3,437 * Devry, Inc. 120,564 3,430 Crescent Real Estate, Inc. REIT 189,257 3,427 Tootsie Roll Industries, Inc. 87,623 3,424 * Quest Software, Inc. 154,806 3,423 Protective Life Corp. 118,259 3,421 * Hearst-Argyle Television Inc. 158,452 3,416 * 99 Cents Only Stores 89,477 3,409 * LaBranche & Co. Inc. 98,835 3,406 National Fuel Gas Co. 137,681 3,401 * Medicis Pharmaceutical Corp. 52,496 3,391 CONSOL Energy, Inc. 136,490 3,390 * Finisar Corp. 330,981 3,366 * Packaging Corp. of America 184,951 3,357 * Catalina Marketing Corp. 96,629 3,353 * Barnes & Noble, Inc. 112,753 3,337 Valspar Corp. 84,114 3,331 Jack Henry & Associates 152,510 3,331 MDU Resources Group, Inc. 118,104 3,325 * Riverstone Networks, Inc. 199,955 3,319 * Valassis Communications, Inc. 93,125 3,317 * National Instruments Corp. 88,294 3,307 * Cabot Microelectronics Corp. 41,717 3,306 * The Phoenix Companies, Inc. 177,235 3,279 * NetIQ Corp. 92,926 3,277 * Pioneer Natural Resources Co. 170,092 3,276 * O'Reilly Automotive, Inc. 89,623 3,269 * Alliant Techsystems, Inc. 42,186 3,257 * Level 3 Communications, Inc. 651,100 3,256 Puget Energy, Inc. 148,643 3,254 * J.D. Edwards & Co. 196,721 3,236 CarrAmerica Realty Corp. REIT 107,344 3,231 * Investment Technology Group, Inc. 82,328 3,217 * FMC Corp. 53,500 3,183 Bunge Ltd. 136,700 3,182 Teleflex Inc. 66,995 3,170 * American Eagle Outfitters, Inc. 121,066 3,168 * Vertex Pharmaceuticals, Inc. 128,299 3,155 OGE Energy Corp. 135,984 3,139 Pentair, Inc. 85,822 3,133 Herman Miller, Inc. 132,263 3,129 Lubrizol Corp. 89,056 3,125 * Constellation Brands, Inc. Class A 72,858 3,122 * Catellus Development Corp. 169,428 3,117 Fulton Financial Corp. 142,729 3,116 * Applera Corp.-Celera Genomics Group 116,379 3,106 Harte-Hanks, Inc. 110,138 3,103 * Swift Transportation Co., Inc. 144,170 3,101 * Scholastic Corp. 61,385 3,090 * Macrovision Corp. 87,617 3,086 * Patterson-UTI Energy, Inc. 132,180 3,081 * Sicor, Inc. 196,476 3,081 17 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Jacobs Engineering Group Inc. 46,564 3,073 Mack-Cali Realty Corp. REIT 98,440 3,054 * GlobespanVirata, Inc. 235,622 3,051 * Zebra Technologies Corp. Class A 54,877 3,046 * Cerner Corp. 60,737 3,033 Forest City Enterprise Class A 78,257 3,029 * Pixar, Inc. 84,115 3,025 * Energizer Holdings, Inc. 158,631 3,022 * American Tower Corp. Class A 317,769 3,009 Reynolds & Reynolds Class A 123,575 2,997 * Triton PCS, Inc. 101,739 2,986 * Earthlink, Inc. 245,260 2,985 Donaldson Co., Inc. 76,810 2,983 Hubbell Inc. Class B 101,251 2,975 * Coach, Inc. 76,101 2,966 Raymond James Financial, Inc. 82,952 2,946 Arden Realty Group, Inc. REIT 110,958 2,940 * ResMed Inc. 54,474 2,937 Helmerich & Payne, Inc. 87,819 2,931 * Enterasys Networks, Inc. 331,009 2,929 Lyondell Chemical Co. 203,632 2,918 Hospitality Properties Trust REIT 98,840 2,916 * Pharmaceutical Product Development, Inc. 89,989 2,908 * Alkermes, Inc. 110,150 2,904 * Openwave Systems Inc. 296,262 2,900 * National Processing, Inc. 89,226 2,900 American Financial Group, Inc. 117,955 2,896 The MONY Group Inc. 83,617 2,891 New Plan Excel Realty Trust REIT 151,735 2,891 Sky Financial Group, Inc. 142,011 2,889 Brown & Brown, Inc. 105,658 2,884 21st Century Insurance Group 148,200 2,882 * Advent Software, Inc. 57,679 2,881 Metris Cos., Inc. 112,023 2,880 * National-Oilwell, Inc. 139,289 2,871 * The Cheesecake Factory 82,467 2,867 IKON Office Solutions, Inc. 244,740 2,861 Reinsurance Group of America, Inc. 85,615 2,849 * Mediacom Communications Corp. 155,937 2,847 * Exult Inc. 177,359 2,847 CNF Inc. 84,819 2,846 CBRL Group, Inc. 96,374 2,837 Ethan Allen Interiors, Inc. 68,097 2,832 HON Industries, Inc. 102,240 2,827 W.R. Berkley Corp. 52,628 2,826 * Silicon Laboratories Inc. 83,730 2,823 Dial Corp. 164,129 2,815 * West Corp. 112,853 2,815 Pier 1 Imports Inc. 162,239 2,813 HCC Insurance Holdings, Inc. 102,040 2,811 * The Titan Corp. 112,621 2,810 Vectren Corp. 116,954 2,805 * Edwards Lifesciences Corp. 101,351 2,800 * BOK Financial Corp. 88,556 2,790 * Priority Healthcare Corp. Class B 79,214 2,788 * Furniture Brands International Inc. 87,024 2,787 * Ticketmaster Class B 169,992 2,786 Student Loan Corp. 34,553 2,785 Regency Centers Corp. REIT 100,345 2,785 * OSI Pharmaceuticals, Inc. 60,783 2,780 * Newfield Exploration Co. 78,110 2,774 Leucadia National Corp. 96,005 2,772 * Mandalay Resort Group 129,443 2,770 * United Rentals, Inc. 121,717 2,763 * Borders Group, Inc. 139,089 2,760 OM Group, Inc. 41,659 2,757 Lee Enterprises, Inc. 75,804 2,757 Cullen/Frost Bankers, Inc. 89,204 2,755 * Ariba, Inc. 446,110 2,748 Trustmark Corp. 113,373 2,747 * Hanover Compressor Co. 108,748 2,747 * TriQuint Semiconductor, Inc. 223,779 2,744 * Fisher Scientific International Inc. 93,729 2,737 * Affiliated Managers Group, Inc. 38,653 2,724 GATX Corp. 83,719 2,723 * Henry Schein, Inc. 73,401 2,718 Weingarten Realty Investors REIT 56,581 2,716 * Aviron 54,474 2,709 * Markel Corp. 15,022 2,699 * KEMET Corp. 151,507 2,689 Colonial BancGroup, Inc. 190,775 2,688 Great Plains Energy, Inc. 106,645 2,687 Webster Financial Corp. 85,185 2,686 Roslyn Bancorp, Inc. 153,472 2,686 * NVR, Inc. 13,120 2,676 * Extended Stay America, Inc. 162,633 2,667 * Internet Security Systems, Inc. 83,111 2,665 * Techne Corp. 72,300 2,664 Massey Energy Co. 128,197 2,658 * Acxiom Corp. 151,937 2,654 * Renal Care Group, Inc. 82,628 2,652 * Sybase, Inc. 168,273 2,652 Philadelphia Suburban Corp. 117,413 2,648 AmerUs Group Co. 73,800 2,645 Roper Industries Inc. 53,374 2,642 * DoubleClick Inc. 232,537 2,637 Citizens Banking Corp. 79,853 2,626 IDACORP, Inc. 64,590 2,622 * Toll Brothers, Inc. 59,688 2,620 18 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Mentor Graphics Corp. 111,152 2,620 * Career Education Corp. 76,408 2,619 * Orthodontic Centers of America, Inc. 85,518 2,608 Capitol Federal Financial 124,899 2,603 * Maxtor Corp. 409,948 2,599 Dole Food Co. 96,640 2,593 Washington Federal Inc. 100,559 2,592 Old National Bancorp 102,581 2,590 IMC Global Inc. 198,821 2,585 Camden Property Trust REIT 70,261 2,579 Doral Financial Corp. 82,519 2,575 * Integrated Circuit Systems, Inc. 113,968 2,575 * The Neiman Marcus Group, Inc. Class A 82,767 2,572 Sierra Pacific Resources 170,867 2,572 * Quantum Corp.-DLT & Storage Systems 260,582 2,567 York International Corp. 67,092 2,558 * Lands' End, Inc. 50,970 2,557 * Retek Inc. 85,461 2,553 RPM Inc. (Ohio) 176,533 2,553 * Charles River Laboratories, Inc. 76,213 2,552 * Timberland Co. 68,595 2,544 Peabody Energy Corp. 90,134 2,541 Solutia, Inc. 181,050 2,538 Callaway Golf Co. 132,484 2,537 * Extreme Networks, Inc. 196,666 2,537 * Owens-Illinois, Inc. 253,650 2,534 * Sycamore Networks, Inc. 472,353 2,532 Worldcom, Inc.-MCI Group 199,324 2,531 Valhi, Inc. 198,990 2,527 * Zale Corp. 60,082 2,516 * Performance Food Group Co. 71,501 2,515 * Continental Airlines, Inc. Class B 95,926 2,514 StanCorp Financial Group, Inc. 53,173 2,512 * Service Corp. International 502,893 2,509 Precision Castparts Corp. 88,822 2,509 Harman International Industries, Inc. 55,508 2,503 First Midwest Bancorp 85,629 2,500 * Manugistics Group, Inc. 118,462 2,497 United Dominion Realty Trust REIT 172,991 2,491 * Varco International, Inc. 166,077 2,488 * Advanced Fibre Communications, Inc. 140,490 2,482 Skywest, Inc. 97,232 2,475 * Adaptec, Inc. 170,632 2,474 BRE Properties Inc. Class A REIT 79,714 2,468 * IndyMac Bancorp, Inc. 105,353 2,463 * Six Flags, Inc. 159,774 2,457 John Wiley & Sons Class A 106,551 2,454 Fair, Isaac & Co. Inc. 38,805 2,445 * Wind River Systems Inc. 136,489 2,445 Greater Bay Bancorp 85,306 2,438 Pogo Producing Co. 92,733 2,436 * InterMune Inc. 49,275 2,427 * Alleghany Corp. 12,587 2,422 Highwood Properties, Inc. REIT 93,143 2,417 BorgWarner, Inc. 45,996 2,403 * Keane, Inc. 132,604 2,391 BancorpSouth, Inc. 143,719 2,386 * Rightchoice Managed Care, Inc. 34,049 2,383 * CheckFree Corp. 132,389 2,383 Rayonier Inc. 47,060 2,375 Harsco Corp. 69,133 2,371 * Knight Trading Group, Inc. 214,493 2,364 WGL Holdings Inc. 81,012 2,355 * Neurocrine Biosciences, Inc. 45,763 2,348 Westamerica Bancorporation 59,283 2,346 Independence Community Bank Corp. 103,049 2,345 * Scotts Co. 49,269 2,345 * Ingram Micro, Inc. Class A 135,188 2,341 Polaris Industries, Inc. 40,510 2,339 * Activision, Inc. 89,826 2,336 * Northwest Airlines Corp. Class A 148,600 2,333 * Apria Healthcare Group Inc. 93,210 2,329 Hudson United Bancorp 80,850 2,320 * Vignette Corp. 430,445 2,311 Ruby Tuesday, Inc. 112,025 2,311 * Saks Inc. 247,398 2,311 Lancaster Colony Corp. 64,910 2,305 * Forest Oil Corp. 81,546 2,300 Post Properties, Inc. REIT 64,749 2,299 * Cor Therapeutics, Inc. 96,031 2,298 * Covance, Inc. 100,502 2,281 * Columbia Sportswear Co. 68,394 2,278 La-Z-Boy Inc. 104,252 2,275 * LifePoint Hospitals, Inc. 66,812 2,274 * Medarex, Inc. 126,571 2,273 ArvinMeritor, Inc. 115,613 2,271 Park National Corp. 24,437 2,267 People's Bank 106,305 2,260 Hawaiian Electric Industries Inc. 56,016 2,256 RGS Energy Group Inc. 59,933 2,253 * Dal-Tile International Inc. 96,836 2,251 * Priceline.com Inc. 386,538 2,250 Provident Financial Group, Inc. 85,547 2,248 * GTech Holdings Corp. 49,576 2,245 * Incyte Genomics, Inc. 114,256 2,235 Interactive Data Corp. 157,975 2,234 * Coventry Health Care Inc. 111,755 2,230 * SonicWALL, Inc. 113,961 2,215 19 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Applebee's International, Inc. 64,724 2,214 * The Corporate Executive Board Co. 60,285 2,212 Commerce Group, Inc. 58,683 2,212 * Grant Prideco, Inc. 189,576 2,180 Diagnostic Products Corp. 49,426 2,172 Corn Products International, Inc. 61,588 2,171 * Axcelis Technologies, Inc. 168,347 2,170 AGL Resources Inc. 94,229 2,169 * STERIS Corp. 118,683 2,168 Aptargroup Inc. 61,895 2,168 * Payless ShoeSource, Inc. 38,600 2,167 Hollinger International, Inc. 184,973 2,164 Global Payments Inc. 62,756 2,159 * The Yankee Candle Company, Inc. 95,200 2,157 Kennametal, Inc. 53,531 2,156 First American Corp. 114,375 2,143 * Education Management Corp. 58,984 2,138 * Myriad Genetics, Inc. 40,557 2,135 * CNET Networks, Inc. 237,946 2,134 * 7-Eleven, Inc. 182,056 2,132 Interstate Bakeries Corp. 88,127 2,131 First Industrial Realty Trust REIT 68,497 2,130 * Plantronics, Inc. 82,712 2,121 Western Resources, Inc. 123,241 2,120 * Regeneron Pharmaceuticals, Inc. 75,103 2,115 AK Steel Corp. 185,692 2,113 Cousins Properties, Inc. REIT 86,509 2,107 * Liberate Technologies, Inc. 183,458 2,106 * Silicon Valley Bancshares 78,719 2,104 United Bankshares, Inc. 72,809 2,101 * Insight Communications Co., Inc. 86,823 2,098 * CEC Entertainment Inc. 48,333 2,097 Graco, Inc. 53,277 2,080 * Red Hat, Inc. 293,006 2,080 * Electronics for Imaging, Inc. 93,229 2,080 * Tularik, Inc. 86,431 2,076 Monsanto Co. 61,388 2,075 * Getty Images, Inc. 90,024 2,069 Arch Coal, Inc. 90,733 2,060 * Endo Pharmaceuticals Holdings, Inc. 176,404 2,059 Downey Financial Corp. 49,593 2,046 * CV Therapeutics, Inc. 39,055 2,032 * Corvis Corp. 627,255 2,026 NDCHealth Corp. 58,624 2,025 * Numerical Technologies, Inc. 57,406 2,021 Whitney Holdings 46,070 2,020 * Williams Communications Group, Inc. 859,210 2,019 * Flowserve Corp. 75,606 2,012 * Isis Pharmaceuticals, Inc. 90,500 2,008 Odyssey Re Holdings Corp. 113,431 2,008 * Kinder Morgan Management, LLC 52,955 2,007 * Legato Systems, Inc. 154,720 2,007 * Western Digital Corp. 319,256 2,002 Media General, Inc. Class A 40,160 2,001 Reckson Associates Realty Corp. REIT 85,629 2,000 Dreyer's Grand Ice Cream, Inc. 51,872 1,998 Pittston Brink's Group 90,381 1,997 Storage USA, Inc. REIT 47,372 1,994 Pennzoil-Quaker State Co. 137,769 1,991 FactSet Research Systems Inc. 56,881 1,988 * NPS Pharmaceuticals Inc. 51,873 1,987 Piedmont Natural Gas, Inc. 55,451 1,985 * Transkaryotic Therapies, Inc. 46,364 1,984 AGCO Corp. 125,377 1,978 Werner Enterprises, Inc. 81,397 1,978 * THQ Inc. 40,758 1,976 * Informatica Corp. 136,089 1,975 * Emmis Communications, Inc. 83,416 1,972 Healthcare Realty Trust Inc. REIT 70,410 1,971 * Oakley, Inc. 121,172 1,970 * Ascential Software Corp. 485,141 1,965 * Varian Semiconductor Equipment Associates, Inc. 56,678 1,960 * Aeroflex, Inc. 103,341 1,956 * Cognex Corp. 76,353 1,955 * United Stationers, Inc. 58,066 1,954 Carlisle Co., Inc. 52,619 1,946 HRPT Properties Trust REIT 224,338 1,943 * Spinnaker Exploration Co. 47,068 1,937 * Powerwave Technologies, Inc. 111,956 1,935 * PETsMART, Inc. 196,470 1,933 * Mueller Industries Inc. 58,115 1,932 * Micromuse Inc. 128,475 1,927 * Direct Focus, Inc. 61,686 1,925 Blyth, Inc. 82,771 1,924 Cambrex Corp. 44,063 1,921 * Credence Systems Corp. 103,434 1,921 International Bancshares Corp. 45,532 1,919 First Citizens BancShares Class A 19,632 1,919 PNM Resources Inc. 68,618 1,918 Albemarle Corp. 79,896 1,918 * Mid Atlantic Medical Services, Inc. 83,918 1,905 * Teletech Holdings Inc. 132,824 1,903 * MedQuist, Inc. 64,972 1,900 * Alamosa Holdings, Inc. 159,095 1,898 * Plexus Corp. 71,397 1,896 * Cytec Industries, Inc. 70,100 1,893 * Scios, Inc. 79,577 1,892 20 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- CenterPoint Properties Corp. REIT 37,960 1,890 Commercial Federal Corp. 80,427 1,890 * Tekelec 104,247 1,888 * CommScope, Inc. 88,623 1,885 Trinity Industries, Inc. 69,206 1,880 * Chesapeake Energy Corp. 284,314 1,879 Alexander & Baldwin, Inc. 70,123 1,872 Alpharma, Inc. Class A 70,685 1,870 IDEX Corp. 53,978 1,862 * Jack in the Box Inc. 67,609 1,862 * Varian, Inc. 57,380 1,861 Western Gas Resources, Inc. 57,583 1,861 * Avocent Corp. 76,723 1,861 ONEOK, Inc. 103,947 1,854 * CuraGen Corp. 82,813 1,853 * Chico's FAS, Inc. 46,574 1,849 Regis Corp. 71,714 1,849 * Tom Brown, Inc. 68,301 1,845 * Price Communications Corp. 96,537 1,843 * Respironics, Inc. 53,177 1,842 * Cox Radio, Inc. 72,104 1,837 DQE Inc. 96,881 1,834 * Renaissance Learning, Inc. 60,185 1,834 * Speedway Motorsports, Inc. 72,510 1,833 * Pharmaceutical Resources, Inc. 53,966 1,824 Ametek Aerospace Products Inc. 57,185 1,824 * Linens 'n Things, Inc. 71,498 1,823 Superior Industries International, Inc. 45,284 1,823 Jefferies Group, Inc. 43,068 1,822 * AMN Healthcare Services, Inc. 66,300 1,817 Developers Diversified Realty Corp. REIT 95,147 1,817 * Stericycle, Inc. 29,847 1,817 Community First Bankshares, Inc. 70,724 1,817 Lincoln Electric Holdings 74,265 1,815 Church & Dwight, Inc. 68,100 1,814 * Inrange Technologies Corp. 146,532 1,810 * Macromedia, Inc. 101,655 1,809 * Stone Energy Corp. 45,746 1,807 * Anixter International Inc. 62,187 1,804 Florida Rock Industries, Inc. 49,274 1,802 Invacare Corp. 53,423 1,801 * Cirrus Logic 136,190 1,800 * MKS Instruments, Inc. 66,491 1,797 Staten Island Bancorp, Inc. 109,879 1,792 Vector Group Ltd. 54,513 1,791 * Sotheby's Holdings Class A 107,748 1,790 * Insight Enterprises, Inc. 72,723 1,789 * Inhale Therapeutic Systems 96,334 1,787 * Black Box Corp. 33,647 1,779 WPS Resources Corp. 48,576 1,775 * Accredo Health, Inc. 44,715 1,775 Crompton Corp. 197,192 1,775 * AmeriTrade Holding Corp. 299,418 1,773 * LTX Corp. 84,614 1,772 * Borland Software Corp. 113,061 1,771 * AnnTaylor Stores Corp. 50,573 1,770 * Airgas, Inc. 116,773 1,766 Nationwide Financial Services, Inc. 42,559 1,764 * Electronics Boutique Holdings Corp. 44,162 1,764 Federal Signal Corp. 79,149 1,763 * Houston Exploration Co. 52,480 1,762 * Cubist Pharmaceuticals, Inc. 48,970 1,761 * Tetra Tech, Inc. 88,311 1,758 Prentiss Properties Trust REIT 64,002 1,757 * Atlantic Coast Airlines Holdings Inc. 75,403 1,756 * Edison Schools Inc. 89,323 1,755 * Immunomedics Inc. 86,520 1,753 * FEI Co. 55,576 1,751 MDC Holdings, Inc. 46,288 1,749 * Interwoven, Inc. 179,451 1,748 * Pure Resources, Inc. 86,935 1,747 * Barra, Inc. 37,054 1,745 * ADTRAN Inc. 68,296 1,743 Shurgard Storage Centers, Inc. Class A REIT 54,389 1,740 American Capital Strategies, Ltd. 61,091 1,732 Granite Construction Co. 71,904 1,731 * Southwest Bancorporation of Texas, Inc. 57,185 1,731 Ryland Group, Inc. 23,534 1,723 * Southern Union Co. 91,242 1,721 Sensient Technologies Corp. 82,565 1,718 Cleco Corp. 77,999 1,714 * WebEx Communications, Inc. 68,925 1,713 * Loral Space & Communications 571,417 1,709 * S1 Corp. 105,345 1,704 * Foundry Networks, Inc. 208,583 1,700 * Province Healthcare Co. 55,027 1,698 * Arbitron Inc. 49,710 1,698 The Timken Co. 104,748 1,695 * SanDisk Corp. 117,463 1,691 * Advanced Digital Information Corp. 105,349 1,690 * Genencor International Inc. 105,826 1,689 * Sonic Corp. 46,724 1,682 * RSA Security Inc. 96,237 1,680 * Shaw Group, Inc. 71,499 1,680 * PEC Solutions, Inc. 44,670 1,680 * Ohio Casualty Corp. 104,663 1,680 * Therasense, Inc. 67,446 1,673 21 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Centennial Communications Corp. Class A 162,930 1,668 * Allegiance Telecom, Inc. 200,829 1,665 * RealNetworks, Inc. 280,138 1,664 Universal Corp. VA 45,576 1,659 * FreeMarkets, Inc. 68,999 1,654 * American Axle & Manufacturing Holdings, Inc. 77,319 1,653 * Alpha Industries, Inc. 75,804 1,653 * Photronics Labs Inc. 52,669 1,651 Washington REIT 66,214 1,648 * PRIMEDIA Inc. 376,720 1,639 * Argosy Gaming Co. 50,275 1,635 * Key Energy Services, Inc. 177,650 1,634 * Microtune, Inc. 69,664 1,634 * Thoratec Corp. 96,095 1,634 Briggs & Stratton Corp. 38,156 1,629 * SEACOR SMIT Inc. 35,100 1,629 * Choice Hotel International, Inc. 73,323 1,624 * Sonus Networks, Inc. 351,118 1,622 * IDEXX Laboratories Corp. 56,784 1,619 Federal Realty Investment Trust REIT 70,210 1,615 * Inktomi Corp. 240,449 1,613 * Commerce One, Inc. 449,993 1,606 Pan Pacific Retail Properties, Inc. REIT 55,899 1,605 Technitrol, Inc. 58,084 1,604 Minerals Technologies, Inc. 34,351 1,602 * Quanta Services, Inc. 103,542 1,598 * Kronos, Inc. 33,011 1,597 * Westport Resources Corp. 91,755 1,592 * Hain Celestial Group, Inc. 57,884 1,589 * MAXIMUS, Inc. 37,750 1,588 PolyOne Corp. 161,815 1,586 SL Green Realty Corp. REIT 51,583 1,584 * Great Atlantic & Pacific Tea Co., Inc. 66,397 1,579 * Kopin Corp. 112,756 1,579 * AmeriPath, Inc. 49,276 1,577 * Beverly Enterprises, Inc. 183,364 1,577 * Veeco Instruments, Inc. 43,661 1,574 * Concurrent Computer Corp. 105,753 1,570 * Bruker Daltonics, Inc. 95,980 1,569 Vintage Petroleum, Inc. 108,360 1,566 Essex Property Trust, Inc. REIT 31,652 1,564 TrustCo Bank NY 124,315 1,563 * Citizens, Inc. 123,353 1,560 UMB Financial Corp. 38,975 1,559 The Pep Boys (Manny, Moe & Jack) 90,836 1,558 The Macerich Co. REIT 58,498 1,556 * Universal Compression Holdings, Inc. 52,578 1,551 Realty Income Corp. REIT 52,693 1,549 Alfa Corp. 68,998 1,548 * ESS Technology, Inc. 72,805 1,548 Longs Drug Stores, Inc. 66,200 1,548 Chittenden Corp. 56,057 1,547 * Handspring, Inc. 229,200 1,545 * CACI International, Inc. 39,056 1,542 * XM Satellite Radio Holdings, Inc. 83,900 1,540 Arrow International, Inc. 38,563 1,540 * ITT Educational Services, Inc. 41,760 1,540 FelCor Lodging Trust, Inc. REIT 92,088 1,539 * SERENA Software, Inc. 70,697 1,537 * Heartland Express, Inc. 55,344 1,537 Delta & Pine Land Co. 67,576 1,529 * Corinthian Colleges, Inc. 37,355 1,527 Ferro Corp. 59,153 1,526 * ONI Sytems Corp. 243,392 1,526 Nationwide Health Properties, Inc. REIT 81,541 1,524 * Elantec Semiconductor, Inc. 39,657 1,523 Black Hills Corp. 44,978 1,522 * Silicon Storage Technology, Inc. 157,819 1,521 * Journal Register Co. 72,308 1,521 Annaly Mortgage Management Inc. REIT 95,080 1,521 * Albany Molecular Research, Inc. 57,284 1,517 * Kindred Healthcare, Inc. 29,148 1,516 * ADVO, Inc. 35,130 1,511 J. M. Smucker Co. 42,676 1,510 Chateau Communities, Inc. REIT 50,395 1,507 * Coherent, Inc. 48,714 1,506 * AFC Enterprises, Inc. 53,031 1,506 * Interneuron Pharmaceutical, Inc. 135,721 1,505 * K-V Pharmaceutical Co. Class A 51,002 1,505 * InFocus Corp. 68,293 1,504 * Rent-A-Center, Inc. 44,667 1,499 Nordson Corp. 56,767 1,499 * Trendwest Resorts, Inc. 59,194 1,499 * Perrigo Co. 126,796 1,499 * Polo Ralph Lauren Corp. 55,785 1,493 * Too Inc. 54,277 1,493 * Mercury Computer Systems, Inc. 38,153 1,492 Atmos Energy Corp. 70,204 1,492 Horace Mann Educators Corp. 70,303 1,492 * Reliant Resources, Inc. 90,316 1,491 * Commonwealth Telephone Enterprises, Inc. 32,759 1,491 Oshkosh B' Gosh, Inc. Class A 35,537 1,490 Chelsea Property Group REIT 30,354 1,490 * R.H. Donnelley Corp. 51,188 1,487 * Haemonetics Corp. 43,768 1,485 * Advanced Energy Industries, Inc. 55,678 1,483 * Men's Wearhouse, Inc. 71,804 1,483 * Time Warner Telecom Inc. 83,717 1,481 22 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Waste Connections, Inc. 47,771 1,480 * Genta Inc. 103,700 1,476 Bob Evans Farms, Inc. 60,021 1,475 * C-COR Electronics, Inc. 101,086 1,473 * Sola International Inc. 75,865 1,472 * Sylvan Learning Systems, Inc. 66,498 1,468 * Christopher & Banks Corp. 42,810 1,466 * Kulicke & Soffa Industries, Inc. 85,420 1,465 New Jersey Resources Corp. 31,246 1,462 * WFS Financial, Inc. 60,861 1,461 * Vitria Technology, Inc. 228,623 1,461 * Gartner, Inc. Class A 124,800 1,459 * The Topps Co., Inc. 119,758 1,455 * Microsemi Corp. 48,969 1,454 * Documentum, Inc. 66,894 1,453 * Unilab Corp. 57,881 1,453 * webMethods, Inc. 86,575 1,451 USFreightways Corp. 46,167 1,450 Potlatch Corp. 49,360 1,447 * Gaylord Entertainment Co. Class A 58,746 1,445 Brady Corp. Class A 39,460 1,444 First Financial Bancorp 81,669 1,441 * Agile Software Corp. 83,617 1,440 * Siliconix, Inc. 52,474 1,439 * J.B. Hunt Transport Services, Inc. 61,995 1,438 * Hotel Reservations Network, Inc. 31,257 1,438 H.B. Fuller Co. 49,976 1,438 * Electro Scientific Industries, Inc. 47,866 1,436 * La Quinta Properties, Inc. REIT 250,032 1,435 * Tanox, Inc. 77,417 1,432 * Sybron Dental Specialties, Inc. 66,230 1,429 UGI Corp. Holding Co. 47,320 1,429 * Exelixis, Inc. 85,957 1,429 * Kansas City Southern Industries,Inc 101,050 1,428 * Global Industries Ltd. 160,231 1,426 Liberty Corp. 34,555 1,422 Susquehanna Bancshares, Inc. 68,069 1,419 Elcor Corp. 51,010 1,418 * ProQuest Co. 41,765 1,416 Blockbuster Inc. Class A 56,185 1,416 * Cell Genesys, Inc. 60,885 1,415 * Cymer, Inc. 52,795 1,411 Reliance Steel & Aluminum Co. 53,687 1,409 * Exar Corp. 67,495 1,407 * Cell Therapeutics, Inc. 58,283 1,407 Grey Global Group Inc. 2,104 1,403 * ARAMARK Corp. 52,100 1,401 * Magma Design Automation, Inc. 46,271 1,401 Fleming Cos., Inc. 75,709 1,401 * Pediatrix Medical Group, Inc. 41,260 1,400 * Flowers Foods, Inc. 34,994 1,397 * Cal Dive International, Inc. 56,580 1,396 * The Wet Seal, Inc. Class A 59,158 1,393 CBL & Associates Properties, Inc. REIT 44,080 1,389 Oshkosh Truck Corp. 28,448 1,387 * Rambus Inc. 173,044 1,383 Great American Financial Resources, Inc. 73,684 1,382 * IGEN International, Inc. 34,351 1,377 * Read Rite Corp. 208,362 1,377 * Emisphere Technologies, Inc. 43,147 1,377 * Bio-Rad Laboratories, Inc. Class A 21,681 1,372 * Manhattan Associates, Inc. 47,068 1,372 Millennium Chemicals, Inc. 108,861 1,372 * Entravision Communications Corp. 114,776 1,372 Health Care REIT, Inc. 56,297 1,371 * NRG Energy, Inc. 88,240 1,368 * First Horizon Pharmaceutical Corp. 46,532 1,368 Ventas, Inc. REIT 118,743 1,366 Apogee Enterprises, Inc. 86,283 1,365 * SeaChange International, Inc. 39,958 1,363 W.P. Carey & Co. LLC 58,704 1,362 Santander BanCorp 69,943 1,358 * Leap Wireless International, Inc. 64,691 1,357 * Avant! Corp. 66,191 1,356 * Trimeris, Inc. 30,046 1,351 Modine Manufacturing Co. 57,887 1,351 Kelly Services, Inc. Class A 61,635 1,349 * Philadelphia Consolidated Holding Corp. 35,756 1,348 Wallace Computer Services, Inc. 70,906 1,347 Texas Industries, Inc. 36,469 1,346 * Fresh Del Monte Produce Inc. 89,345 1,345 * aaiPharma Inc. 53,150 1,337 * Alaska Air Group, Inc. 45,866 1,335 * NBTY, Inc. 113,765 1,331 * Oak Technology, Inc. 96,738 1,330 Overseas Shipholding Group Inc. 59,098 1,330 Kellwood Co. 55,269 1,327 Energen Corp. 53,783 1,326 * DuPont Photomasks, Inc. 30,444 1,323 LNR Property Corp. 42,415 1,323 * Imation Corp. 61,279 1,322 AREA Bancshares Corp. 67,918 1,322 * Infonet Services Corp. 539,504 1,322 Cabot Oil & Gas Corp. Class A 54,951 1,322 * Antigenics, Inc. 80,539 1,321 Strayer Education, Inc. 27,025 1,317 * URS Corp. 48,008 1,316 * Meridian Gold Co. 127,200 1,314 23 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Barnes Group, Inc. 54,660 1,311 Weis Markets, Inc. 46,879 1,311 Churchill Downs, Inc. 35,444 1,310 * Cross Country, Inc. 49,378 1,309 Hilb, Rogal and Hamilton Co. 23,343 1,308 First Bancorp/Puerto Rico 45,776 1,305 Taubman Co. REIT 87,852 1,305 Republic Bancorp, Inc. 94,181 1,304 * American Management Systems, Inc. 72,130 1,304 ABM Industries 41,565 1,303 N L Industries, Inc. 85,330 1,303 Brandywine Realty Trust REIT 61,801 1,302 * Collins & Aikman Corp. 168,606 1,298 * Eclipsys Corp. 77,412 1,297 * American Italian Pasta Co. 30,849 1,297 * Interlogix, Inc. 33,476 1,295 Seacoast Financial Services Corp. 75,457 1,294 * Administaff, Inc. 47,168 1,293 Casey's General Stores 86,736 1,292 UAL Corp. 95,729 1,292 Cato Corp. Class A 68,370 1,292 * CUNO Inc. 42,349 1,292 * International Multifoods Corp. 54,025 1,291 * Travelocity.com Inc. 44,964 1,291 UIL Holdings Corp. 25,139 1,290 Manitowac Co., Inc. 41,463 1,289 * Pathmark Stores, Inc. 52,275 1,289 * Entegris Inc. 117,556 1,288 * First Consulting Group, Inc. 82,310 1,288 Burlington Coat Factory Warehouse Corp. 76,615 1,287 Greif Brothers Corp. Class A 39,057 1,287 * Champion Enterprises, Inc. 104,533 1,287 Cooper Cos., Inc. 25,740 1,286 * El Paso Electric Co. 88,703 1,286 Ruddick Corp. 80,229 1,283 The South Financial Group, Inc. 72,120 1,280 * Littelfuse, Inc. 48,752 1,279 * Cerus Corp. 27,841 1,274 * The InterCept Group, Inc. 31,048 1,270 * MICROS Systems, Inc. 50,499 1,268 * BroadVision, Inc. 462,572 1,267 Claire's Stores, Inc. 83,921 1,267 Pacific Capital Bancorp 45,579 1,267 * Forward Air Corp. 37,259 1,264 * Value Vision International, Inc. Class A 64,497 1,263 Commercial Metals Co. 36,111 1,263 * Impath, Inc. 28,342 1,262 * Metro One Telecommunications, Inc. 41,660 1,260 * Identix, Inc. 86,200 1,258 * Select Medical Corp. 78,210 1,258 * ATMI, Inc. 52,705 1,257 * InVision Technologies, Inc. 42,137 1,255 * Station Casinos, Inc. 112,169 1,255 * Scientific Games Corp. 143,389 1,255 Standard Pacific Corp. 51,577 1,254 American Woodmark Corp. 23,323 1,254 * The Ackerley Group, Inc. 71,571 1,252 Banta Corp. 42,397 1,252 Gables Residential Trust REIT 42,277 1,251 * The Children's Place Retail Stores, Inc. 46,064 1,251 * Dycom Industries, Inc. 74,653 1,247 * Kos Pharmaceuticals, Inc. 36,053 1,247 * VISX Inc. 94,141 1,247 Mid-America Apartment Communities, Inc. REIT 47,400 1,247 * ILEX Oncology, Inc. 46,067 1,246 Hughes Supply, Inc. 40,327 1,245 Mills Corp. REIT 46,983 1,244 Central Parking Corp. 63,195 1,241 Tredegar Corp. 65,300 1,241 Otter Tail Corp. 42,570 1,240 * MSC Industrial Direct Co., Inc. Class A 62,793 1,240 * Handleman Co. 83,487 1,240 Baldor Electric Co. 59,221 1,238 * Evergreen Resources, Inc. 32,052 1,238 Airborne, Inc. 83,442 1,237 Mid-America Bancorp 37,363 1,237 * Stillwater Mining Co. 66,848 1,237 * FileNET Corp. 60,910 1,236 Southwest Gas Corp. 55,282 1,236 Olin Corp. 76,514 1,235 Bandag, Inc. 35,519 1,235 Kilroy Realty Corp. REIT 46,978 1,234 * Coinstar, Inc. 49,259 1,231 * Duane Reade Inc. 40,563 1,231 * Brooks Automation, Inc. 30,244 1,230 * HNC Software, Inc. 59,687 1,230 * Verity, Inc. 60,689 1,229 * US Oncology, Inc. 162,976 1,229 * Credit Acceptance Corp. 138,028 1,228 * Ixia 95,598 1,228 * Syncor International Corp. 42,865 1,228 * Serologicals Corp. 57,065 1,227 * Connetics Corp. 103,086 1,227 * ProAssurance Corp. 69,726 1,226 * Harmonic, Inc. 101,955 1,225 * Tuesday Morning Corp. 67,700 1,225 RPC Inc. 69,181 1,221 * SeeBeyond Technology Corp. 125,873 1,221 Roadway Corp 33,256 1,220 24 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * NeoPharm, Inc. 48,667 1,219 * BlackRock, Inc. 29,233 1,219 Lance, Inc. 85,267 1,218 Newport Corp. 63,190 1,218 * Hollywood Entertainment Corp. 85,197 1,217 Lone Star Steakhouse & Saloon, Inc. 82,046 1,217 * Modis Professional Services Inc. 170,342 1,216 * PRI Automation, Inc. 59,365 1,214 * Boyd Gaming Corp. 186,509 1,212 Harleysville Group, Inc. 50,676 1,211 CH Energy Group, Inc. 27,845 1,210 * Tellium, Inc. 193,940 1,208 Sanderson Farms, Inc. 56,382 1,204 * Vicor Corp. 74,284 1,203 Plains All American Pipeline, L.P. 46,289 1,203 * Akamai Technologies, Inc. 202,497 1,203 * FuelCell Energy, Inc. 66,200 1,201 * Intergraph Corp. 87,331 1,200 R.L.I. Corp. 26,650 1,199 Zenith National Insurance Corp. 42,860 1,198 Vital Signs, Inc. 34,306 1,197 Regal-Beloit Corp. 54,865 1,196 Quanex Corp. 42,241 1,195 * California Pizza Kitchen, Inc. 48,166 1,192 * Insituform Technologies Inc. Class A 46,569 1,191 * XOMA Ltd. 120,924 1,191 Home Properties of New York, Inc. REIT 37,670 1,190 * Simpson Manufacturing Co. 20,734 1,188 * EMCOR Group, Inc. 26,138 1,187 Kaydon Corp. 52,282 1,186 Fred's, Inc. 28,947 1,186 Westcorp, Inc. 63,451 1,185 Pulitzer, Inc. 23,213 1,184 * Aztar Corp. 64,510 1,181 * McAfee.com Corp. 34,752 1,178 * Checkpoint Systems, Inc. 87,913 1,178 Mentor Corp. 41,200 1,177 * MSCI, Inc. 50,146 1,176 * SCP Pool Corp. 42,777 1,174 * Ralcorp Holdings, Inc. 51,687 1,173 * Pacific Sunwear of California 57,453 1,173 * Crestline Capital Corp. 37,732 1,172 SWS Group, Inc. 46,013 1,171 PS Business Parks, Inc. REIT 37,169 1,171 First Commonwealth Financial Corp. 101,568 1,170 Sovran Self Storage, Inc. REIT 37,549 1,170 Hudson River Bancorp. Inc. 53,356 1,168 * InfoSpace, Inc. 568,965 1,166 The Trust Co. of New Jersey 46,261 1,166 Delphi Financial Group, Inc. 34,994 1,165 * Embarcadero Technologies, Inc. 48,085 1,164 Summit Properties, Inc. REIT 46,505 1,164 Manufactured Home Communities, Inc. REIT 37,269 1,163 * Knight Transportation, Inc. 61,893 1,162 G & K Services, Inc. 35,982 1,162 * American Medical Systems Holdings, Inc. 56,101 1,161 MAF Bancorp, Inc. 39,339 1,161 W Holding Co., Inc. 71,620 1,160 F.N.B. Corp. 44,021 1,160 * Pixelworks, Inc. 72,222 1,160 Albany International Corp. 53,417 1,159 * Per-Se Technologies, Inc. 107,825 1,159 Argonaut Group, Inc. 59,219 1,159 * Digital Insight Corp. 51,810 1,158 Suffolk Bancorp 21,229 1,158 * SangStat Medical Corp. 58,959 1,158 Matthews International Corp. 47,085 1,157 Alexandria Real Estate Equities, Inc. REIT 28,152 1,157 A.O. Smith Corp. 59,324 1,157 Glatfelter 74,211 1,156 * Tweeter Home Entertainment Group, Inc. 39,758 1,153 * Integra LifeSciences Holdings 43,766 1,153 * Sirius Satellite Radio, Inc. 99,100 1,153 * Joy Global Inc. 68,597 1,152 * Actuant Corp. 34,289 1,152 * Stellent Inc. 38,958 1,152 Koger Equity, Inc. REIT 70,602 1,151 * Oceaneering International, Inc. 51,961 1,149 United National Bancorp 47,861 1,149 * EGL, Inc. 82,318 1,148 * Matria Healthcare, Inc. 33,147 1,148 Clarcor Inc. 42,273 1,148 * Websense, Inc. 35,770 1,147 * Ivex Packaging Corp. 60,360 1,147 Woodward Governor Co. 19,633 1,144 Sun Communities, Inc. REIT 30,658 1,142 * Entrust, Inc. 112,064 1,142 West Pharmaceutical Services, Inc. 42,916 1,142 * Symyx Technologies 53,681 1,140 * Kirby Corp. 41,385 1,140 * Conmed Corp. 57,073 1,139 S & T Bancorp, Inc. 46,881 1,138 Hooper Holmes, Inc. 126,872 1,136 * Hyperion Solutions Corp. 57,167 1,135 * Casella Waste Systems, Inc. 76,652 1,135 * Genlyte Group, Inc. 38,145 1,135 A. Schulman Inc. 83,152 1,135 25 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Aftermarket Technology Corp. 70,060 1,135 * Hot Topic, Inc. 36,153 1,135 * ImmunoGen, Inc. 68,301 1,132 * Alloy, Inc. 52,582 1,132 * Tollgrade Communications, Inc. 33,938 1,132 * Sunrise Assisted Living, Inc. 38,859 1,131 * Radio One, Inc. Class D 62,800 1,131 Advanced Marketing Services 61,937 1,130 * The Dress Barn, Inc. 45,153 1,129 * Photon Dynamics, Inc. 24,732 1,129 CNA Surety Corp. 72,814 1,129 * TBC Corp. 84,247 1,128 Independent Bank Corp. (MA) 52,450 1,127 * Ryan's Family Steak Houses, Inc. 52,006 1,126 * Acclaim Entertainment Inc. 212,380 1,126 * Syntel, Inc. 87,008 1,125 John H. Harland Co. 50,885 1,125 Colonial Properties Trust REIT 36,084 1,124 * UICI 83,228 1,124 JDN Realty Corp. REIT 91,055 1,123 Bedford Property Investors, Inc. REIT 49,864 1,122 * Novavax, Inc. 79,570 1,122 National Health Investors REIT 75,785 1,122 * Wilson Greatbatch Technologies, Inc. 31,062 1,121 Northwest Natural Gas Co. 43,972 1,121 CVB Financial Corp. 47,870 1,120 Watts Industries Class A 74,590 1,119 * Concord Communications, Inc. 54,148 1,118 * Trammell Crow Co. 95,309 1,115 Community Trust Bancorp Inc. 46,936 1,115 * Intrado Inc. 41,440 1,111 * JAKKS Pacific, Inc. 58,600 1,110 State Auto Financial Corp. 68,202 1,108 * Global Imaging Systems, Inc. 74,159 1,107 * CardioDynamics International Corp. 167,428 1,107 * WMS Industries, Inc. 55,333 1,107 * Beazer Homes USA, Inc. 15,122 1,106 * Sonosite, Inc. 43,012 1,105 * Information Holdings Inc. 38,959 1,103 * BankUnited Financial Corp. 74,180 1,102 Schweitzer-Mauduit International, Inc. 46,360 1,101 Corus Bankshares Inc. 24,242 1,101 * eFunds Corp. 79,999 1,100 * Alliance Gaming Corp. 37,416 1,100 Winnebago Industries, Inc. 29,756 1,099 Mississippi Valley Bancshares, Inc. 28,039 1,099 MeriStar Hospitality Corp. REIT 77,257 1,097 Brookline Bancorp, Inc. 66,667 1,096 Wolverine World Wide, Inc. 72,815 1,096 Northwest Bancorp, Inc. 95,651 1,094 * Bright Horizons Family Solutions, Inc. 39,019 1,092 * Global Sports, Inc. 54,717 1,092 * Power Integrations, Inc. 47,769 1,091 * Redback Networks Inc. 276,099 1,091 * Bally Total Fitness Holding Corp. 50,575 1,090 Avista Corp. 82,224 1,090 * Midway Games Inc. 72,589 1,090 * PLX Technology, Inc. 86,364 1,089 Baldwin & Lyons, Inc. Class B 42,535 1,089 * Monaco Coach Corp. 49,693 1,087 Hancock Holding Co. 25,224 1,086 Wausau-Mosinee Paper Corp. 89,661 1,085 * Fossil, Inc. 51,578 1,083 South Jersey Industries, Inc. 33,184 1,082 * Learning Tree International, Inc. 38,750 1,081 Provident Bankshares Corp. 44,413 1,079 * Stewart Enterprises, Inc. Class A 180,168 1,079 * Footstar Inc. 34,455 1,078 * MRV Communications Inc. 254,206 1,078 * Enzo Biochem, Inc. 45,812 1,077 * Papa John's International, Inc. 39,161 1,076 * SurModics, Inc. 29,444 1,074 * Corixa Corp. 71,207 1,073 Deb Shops, Inc. 44,243 1,073 * Progress Software Corp. 61,993 1,071 * Amylin Pharmaceuticals, Inc. 117,075 1,070 Anchor Bancorp Wisconsin Inc. 60,281 1,069 * DSP Group Inc. 45,965 1,069 First Niagara Financial Group, Inc. 63,485 1,068 * Cable Design Technologies Corp. 78,023 1,067 Owens & Minor, Inc. Holding Co. 57,691 1,067 * E.Piphany Inc. 122,256 1,065 GenCorp, Inc. 75,417 1,064 Russ Berrie and Co., Inc. 35,465 1,064 * UbiquiTel Inc. 142,617 1,062 * Yellow Corp. 42,268 1,061 Texas Regional Bancshares, Inc. 28,027 1,061 * Superior Energy Services, Inc. 122,581 1,060 * Pegasus Solutions Inc. 74,667 1,060 * IHOP Corp. 36,173 1,060 * Impax Laboratories, Inc. 78,823 1,059 Presidential Life Corp. 51,480 1,058 * AirGate PCS, Inc. 23,234 1,058 Longview Fibre Co. 89,597 1,058 * INAMED Corp. 35,154 1,057 * Netegrity, Inc. 54,585 1,057 East West Bancorp, Inc. 40,976 1,055 * SkillSoft Corp. 40,660 1,054 * Cognizant Technology Solutions Corp. 25,629 1,050 UniSource Energy Corp. 57,692 1,049 26 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Artisan Components, Inc. 66,350 1,048 C & D Technology Inc. 45,869 1,048 Kaman Corp. Class A 67,169 1,048 Curtiss-Wright Corp. 21,934 1,047 * Paxar Corp. 73,731 1,047 * Playtex Products, Inc. 107,267 1,046 Berry Petroleum Class A 66,587 1,045 Carpenter Technology Corp. 39,261 1,045 * Saga Communications, Inc. 50,447 1,044 * Boca Resorts, Inc. Class A 79,612 1,043 * Nastech Pharmaceutical Co., Inc. 67,200 1,042 Applied Industrial Technology, Inc. 55,718 1,039 St. Mary Land & Exploration Co. 48,980 1,038 * Maxygen Inc. 59,026 1,037 * Arkansas Best Corp. 35,958 1,036 Tecumseh Products Co. Class A 20,454 1,036 Spiegel, Inc. Class A 227,536 1,035 * Trimble Navigation Ltd. 63,865 1,035 EastGroup Properties, Inc. REIT 44,858 1,035 * Paxson Communications Corp. 98,951 1,034 Centex Construction Products,Inc 32,256 1,034 Empire District Electric Co. 49,055 1,030 GBC Bancorp 34,840 1,028 * Caminus Corp. 44,639 1,027 * First Republic Bank 42,496 1,026 Skyline Corp. 31,800 1,026 Ameron International Corp. 14,816 1,025 * Group 1 Automotive, Inc. 35,960 1,025 * Prize Energy Corp. 44,343 1,025 * Montana Power Co. 178,256 1,025 * Specialty Laboratories, Inc. 37,256 1,024 Rollins, Inc. 51,190 1,024 * Zoran Corp. 31,345 1,023 * International Specialty Products, Inc. 114,288 1,023 Crawford & Co. Class B 87,142 1,021 * Lexicon Genetics Inc. 88,459 1,021 CTS Corp. 64,151 1,020 * Theragenics Corp. 103,390 1,019 Waypoint Financial Corp. 67,576 1,019 Georgia Gulf Corp. 55,068 1,019 * Hutchinson Technology, Inc. 43,867 1,019 * NYFIX, Inc. 50,747 1,016 Town & Country Trust REIT 48,587 1,015 Kimball International, Inc. Class B 67,013 1,015 Patina Oil & Gas Corp. 36,828 1,013 * AstroPower, Inc. 25,036 1,012 Carbo Ceramics Inc. 25,838 1,012 * PSS World Medical, Inc. 123,882 1,011 * NCO Group, Inc. 44,067 1,009 * Digital River, Inc. 63,367 1,009 * PAREXEL International Corp. 70,270 1,008 Chemed Corp. 29,736 1,008 * Sinclair Broadcast Group, Inc. 106,514 1,008 USEC Inc. 140,723 1,008 * MatrixOne, Inc. 77,552 1,007 Chesapeake Corp. of Virginia 36,223 1,007 * FLIR Systems, Inc. 26,539 1,006 Omega Financial Corp. 31,300 1,006 IRT Property Co. REIT 94,900 1,006 * Tejon Ranch Co. 42,031 1,005 Belden, Inc. 42,668 1,005 * Secure Computing Corp. 48,873 1,004 * Vastera, Inc. 60,436 1,004 * Landstar System, Inc. 13,826 1,003 * BioMarin Pharmaceutical Inc. 74,517 1,002 ChemFirst Inc. 41,748 1,001 * Spherion Corp. 102,454 1,000 * Take-Two Interactive Software, Inc. 61,600 996 Chemical Financial Corp. 33,024 996 First Charter Corp. 55,873 995 * CryoLife Inc. 33,153 995 * Rayovac Corp. 56,486 994 The Toro Co. 22,037 992 * CompuCredit Corp. 84,324 992 * CMGI Inc. 606,576 989 * DMC Stratex Networks, Inc. 127,081 989 Wintrust Financial Corp. 32,340 989 * Panera Bread Co. 18,991 988 * General Binding Corp. 76,500 988 Pennsylvania REIT 42,565 988 Saul Centers, Inc. REIT 46,200 986 Getty Realty Holding Corp. 52,304 986 * Sequa Corp. Class A 20,729 985 * OmniVision Technologies, Inc. 109,629 984 Walter Industries, Inc. 87,035 984 * Terayon Communications Systems, Inc. 118,873 983 * Atlas Air Worldwide Holdings, Inc. 67,082 983 * Steak n Shake Co. 89,000 983 * Gentiva Health Services, Inc. 44,763 983 The Standard Register Co. 52,972 982 * CoorsTek, Inc. 30,828 982 * Ocwen Financial Corp. 115,685 981 * P.F. Chang's China Bistro, Inc. 20,737 981 * Newpark Resources, Inc. 123,985 979 Amcore Financial, Inc. 43,581 974 * Dendrite International, Inc. 69,402 974 * Veritas DGC Inc. 52,580 973 * Somera Communications, Inc. 128,833 973 Riggs National Corp. 69,592 972 * MRO Software Inc. 41,561 972 Selective Insurance Group 44,669 971 Milacron Inc. 61,394 971 * Charles River Associates Inc. 47,335 970 27 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * F.Y.I. Inc. 28,948 970 * CorVel Corp. 29,599 969 Thornburg Mortgage, Inc. REIT 49,200 969 * Alliance Imaging, Inc. 79,428 969 Pioneer Standard Electronics Inc. 76,205 968 * Durect Corp. 83,466 967 Integra Bank Corp. 46,158 967 * Tyler Technologies, Inc. 212,162 965 Spartech Corp. 46,973 965 * Triarc Cos., Inc. Class A 39,676 964 Coca-Cola Bottling Co. 25,447 963 * Sonic Automotive, Inc. 41,076 963 * Rudolph Technologies, Inc. 28,040 962 * Unifi, Inc. 132,688 962 * Dionex Corp. 37,659 961 * Echelon Corp. 67,800 960 * Cost Plus, Inc. 36,156 958 * Tesoro Petroleum Corp. 73,024 957 * J & J Snack Foods Corp. 39,140 957 * CDI Corp. 50,362 957 Frontier Financial Corp. 36,565 957 * Healthcare Services Group, Inc. 92,714 955 * Drexler Technology Corp. 40,150 954 * Hollywood Casino Corp. 90,886 954 * Nortek, Inc. 34,189 954 Holly Corp. 49,461 952 * Stewart Information Services Corp. 48,147 951 NBT Bancorp, Inc. 65,610 951 BSB Bancorp, Inc. 40,083 950 * Interdigital Communications Corp. 97,942 950 * Adolor Corp. 52,892 949 Flushing Financial Corp. 53,325 949 * Ciber, Inc. 100,350 948 * Chiles Offshore, Inc. 47,672 948 * F5 Networks, Inc. 43,964 947 * LabOne, Inc. 61,446 946 UCBH Holdings, Inc. 33,262 946 * Kroll Inc. 62,569 945 BancFirst Corp. 27,205 944 Innkeepers USA Trust REIT 96,312 944 Fremont General Corp. 120,568 943 CIRCOR International, Inc. 51,098 943 Wabtec Corp. 76,624 942 * Charming Shoppes, Inc. 177,388 942 * Atrix Laboratories, Inc. 45,686 942 * AmSurg Corp. 34,639 941 * Computer Network Technology Corp. 52,781 939 * Steel Dynamics, Inc. 80,830 938 Resource Bancshares Mortgage Group, Inc. 81,874 938 * Rogers Corp. 30,846 935 * Ocular Sciences, Inc. 40,062 933 Universal Health Realty Income REIT 39,700 933 CFS Bancorp, Inc. 65,000 933 * EPIQ Systems, Inc. 48,190 932 * Grey Wolf, Inc. 313,961 932 * Horizon Organic Holding Corp. 56,444 932 MacDermid, Inc. 54,986 932 Lennox International Inc. 96,079 932 * On Assignment, Inc. 40,463 929 * Deltagen, Inc. 101,022 929 * The Gymboree Corp. 77,736 927 * Corrections Corp. of America 49,954 927 * CIMA Labs Inc. 25,639 927 First Federal Capital Corp. 58,977 926 * SBA Communications Corp. 71,108 926 * InterVoice-Brite, Inc. 72,260 925 Northwestern Corp. 43,914 924 * Spectrasite Holdings, Inc. 257,453 924 * Pericom Semiconductor Corp. 63,566 922 * Pacificare Health Systems, Inc. 57,606 922 Hancock Fabrics, Inc. 70,061 921 CT Communications, Inc. 55,757 921 * Teledyne Technologies, Inc. 56,483 920 Glenborough Realty Trust, Inc. REIT 47,387 919 * National Beverage Corp. 77,533 919 * Jones Lang Lasalle Inc. 50,885 918 * J. Jill Group, Inc. 42,636 918 Oriental Financial Group Inc. 49,321 917 * Southwestern Energy Co. 87,978 915 * Advanced Tissue Sciences Inc. 209,741 914 * Information Resources, Inc. 109,926 912 * OraSure Technologies, Inc. 75,004 911 * 4Kids Entertainment Inc. 45,438 910 * Benchmark Electronics, Inc. 47,951 909 * Cellegy Pharmaceuticals, Inc. 105,800 908 Stewart & Stevenson Services, Inc. 48,258 908 Sterling Bancshares, Inc. 72,428 907 * Intuitive Surgical, Inc. 90,246 905 * SuperGen, Inc. 63,189 905 * Palm Harbor Homes, Inc. 37,761 904 * United Surgical Partners Intl, Inc. 42,613 901 Gold Banc Corp., Inc. 126,425 899 * Prime Hospitality Corp. 81,238 898 * Vail Resorts Inc. 50,588 897 Fleetwood Enterprises, Inc. 79,001 895 FBL Financial Group, Inc. Class A 53,629 895 * ChipPAC, Inc. 120,379 893 * Elite Information Group, Inc. 72,000 893 * First Federal Financial Corp. 34,803 892 Wellman, Inc. 57,545 891 28 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * SONUS Pharmaceuticals, Inc. 110,100 890 * Inet Technologies, Inc. 84,124 889 * Terex Corp. 50,672 889 * UCAR International, Inc. 82,953 888 * Alliance Semiconductor Corp. 73,459 887 * PC Connection, Inc. 59,665 885 LandAmerica Financial Group, Inc. 30,800 884 * Gene Logic Inc. 46,870 883 * DiamondCluster International, Inc. 67,306 882 * DVI, Inc. 51,259 882 Helix Technology Corp. 39,058 881 * Neose Technologies, Inc. 24,039 880 Lawson Products, Inc. 33,850 880 Charter Municipal Mortgage Acceptance Co. 54,158 880 * Aspen Technologies, Inc. 52,382 880 * Hibbett Sporting Goods, Inc. 29,022 879 * Avid Technology, Inc. 72,372 879 Pennfed Financial Services, Inc. 35,400 879 Merchants Bancshares, Inc. 36,600 878 * Pre-Paid Legal Services, Inc. 40,057 877 Alliance Resource Partners, L.P. 32,359 877 * Frontier Airlines, Inc. 51,523 876 * Swift Energy Co. 43,349 876 * Sykes Enterprises, Inc. 93,707 875 * Diversa Corp. 61,794 874 Glacier Bancorp, Inc. 41,971 874 * Action Performance Cos., Inc. 28,544 874 Analogic Corp. 22,640 872 * Aquila, Inc. 50,951 871 Sterling Bancorp 29,790 870 BP Prudhoe Bay Royalty Trust 58,476 868 Datascope Corp. 25,544 866 Inter-Tel, Inc. 45,066 866 * Kendle International Inc. 42,942 866 * Guess ?, Inc. 115,427 866 * Pegasus Communications Corp. Class A 83,022 864 S.Y. Bancorp, Inc. 25,935 864 * Charlotte Russe Holding Inc. 46,356 863 Russell Corp. 57,400 862 SJW Corp. 10,100 861 * RehabCare Group, Inc. 29,047 860 * Progenics Pharmaceuticals, Inc. 46,440 858 * US Physical Therapy, Inc. 53,045 857 * Restoration Hardware, Inc. 95,800 856 OceanFirst Financial Corp. 35,400 855 * Atwood Oceanics, Inc. 24,535 855 * Cadiz Inc. 106,328 853 Calgon Carbon Corp. 102,022 852 Cash America International Inc. 100,197 852 * Digene Corp. 28,844 851 Libbey, Inc. 26,049 851 World Fuel Services Corp. 46,458 850 Capstead Mortgage Corp. REIT 36,095 848 * Acuity Brands, Inc. 70,100 848 Senior Housing Properties Trust REIT 60,943 848 MOCON, Inc. 87,562 846 St. Francis Capital Corp. 36,546 845 * Esterline Technologies Corp. 52,771 845 * Viisage Technology, Inc. 86,560 845 Arch Chemicals, Inc. 36,362 844 * 1-800-FLOWERS.COM, Inc. 54,076 844 Glimcher Realty Trust REIT 44,793 843 Dover Downs Entertainment, Inc. 55,122 843 * Quicksilver Resources, Inc. 44,263 843 * Infogrames, Inc. 118,884 843 * Luminex Corp. 49,565 841 New England Business Service, Inc. 43,850 840 Phillips-Van Heusen Corp. 76,982 839 * Unit Corp. 64,994 838 * SPSS, Inc. 47,096 836 * Therma-Wave Inc. 55,801 833 Coachmen Industries, Inc. 69,370 832 * The Buckle, Inc. 37,259 831 Nature's Sunshine Inc. 70,760 831 Tremont Corp. 28,734 830 NCH Corp. 15,920 830 * ITLA Capital Corp. 39,600 830 * EMCORE Corp. 61,692 830 Medford Bancorp, Inc. 39,202 830 Cascade Bancorp 51,340 829 * NetRatings, Inc. 52,759 827 * AirTran Holdings, Inc. 125,280 827 * PriceSmart, Inc. 23,624 827 * Del Monte Foods Co. 97,055 826 Ambassadors International, Inc. 39,335 826 * DDi Corp. 83,636 823 * Actel Corp. 41,262 822 * Civic Bancorp 40,419 821 First Place Financial Corp. 52,006 819 * Sequenom, Inc. 76,760 819 * Net.Bank, Inc. 78,088 818 Brown Shoe Co., Inc. 50,367 818 * TriPath Imaging, Inc. 108,514 817 * Right Management Consultants, Inc. 47,225 817 * Sierra Health Services 100,789 816 * Ligand Pharmaceuticals Inc. Class B 45,570 816 Interface, Inc. 145,260 815 Landry's Restaurants, Inc. 43,666 814 Bel Fuse, Inc. Class B 32,500 814 * Alexander's, Inc. REIT 14,300 814 29 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Ulticom, Inc. 80,848 813 * MGI Pharma, Inc. 53,060 811 * ViaSat, Inc. 51,960 811 * Zonagen, Inc. 115,700 810 * Witness Systems, Inc. 60,796 810 * Universal Electronics, Inc. 47,042 810 * bebe stores, inc 43,365 809 * Iomega Corp. 96,857 809 * ANADIGICS, Inc. 52,928 807 * Bio-Technology General Corp. 98,048 807 Cohu, Inc. 40,855 807 * Cell Pathways, Inc. 115,600 805 * W-H Energy Services, Inc. 42,195 804 * FPIC Insurance Group, Inc. 53,900 803 * Electroglas, Inc. 54,359 803 * Salton, Inc. 42,487 802 Dimon Inc. 111,303 801 The Stride Rite Corp. 122,034 799 * Asyst Technologies, Inc. 62,591 799 * Genesco, Inc. 38,359 796 * Wackenhut Corp. 32,062 795 * Forrester Research, Inc. 39,460 795 * Chalone Wine Group Ltd. 81,898 794 * Amerco, Inc. 42,166 794 * Applica Inc. 87,978 793 * Benihana Inc. Class A 52,600 792 * Dril-Quip, Inc. 32,846 792 * Orthologic Corp. 161,800 791 * Huttig Building Products, Inc. 129,626 791 * IDT Corp. CLass B 47,600 791 Central Vermont Public Service Corp. 47,300 790 * Pinnacle Systems, Inc. 99,448 790 * Insignia Financial Group, Inc. 73,049 789 Cornerstone Realty Income Trust, Inc. REIT 69,448 788 RFS Hotel Investors, Inc. REIT 69,212 788 General Cable Corp. 60,092 787 Standex International Corp. 36,147 786 JLG Industries, Inc. 73,515 783 * Penwest Pharmaceuticals Co. 39,011 782 * Remec, Inc. 78,218 781 * Regeneration Technologies, Inc. 76,554 780 * SPS Technologies, Inc. 22,339 780 * The TriZetto Group, Inc. 59,417 780 Independent Bank Corp. (MI) 28,007 779 * Input/Output, Inc. 94,737 778 * ProBusiness Services, Inc. 41,263 776 * Presstek, Inc. 84,331 773 Associated Estates Realty Corp. REIT 84,200 773 Lindsay Manufacturing Co. 39,946 773 Commercial Net Lease Realty REIT 59,406 772 Pope & Talbot, Inc. 54,047 770 * ABIOMED, Inc. 48,658 770 * Pemstar Inc. 64,113 769 * Maverick Tube Corp. 59,288 768 * PICO Holdings, Inc. 61,387 767 * FSI International, Inc. 83,177 767 * Plains Resources Inc. 31,157 767 * Prima Energy Corp. 35,244 767 * Alexion Pharmaceuticals, Inc. 31,350 766 * Foodarama Supermarkets, Inc. 18,900 765 Frontier Oil Corp. 45,979 765 * Resources Connection, Inc. 29,057 765 * Integral Systems, Inc. 39,633 763 * Nuevo Energy Co. 50,860 763 Blair Corp. 33,731 762 * Universal Access Global Holdings Inc. 162,452 762 * UnitedGlobalCom Inc. Class A 151,878 759 * Tower Automotive, Inc. 83,923 758 Gerber Scientific, Inc. 81,472 758 * Spherix Inc. 79,800 757 * General Communication, Inc. 88,743 757 Enron Corp. 1,259,300 756 * iManage, Inc. 95,600 754 * Insurance Auto Auctions, Inc. 51,948 754 * Kensey Nash Corp. 41,837 753 WSFS Financial Corp. 43,400 753 * OfficeMax, Inc. 166,903 751 Centennial Bancorp 101,758 751 Bay State Bancorp, Inc. 20,500 749 * Dollar Thrifty Automotive Group, Inc. 48,327 749 * TransMontaigne Inc. 137,428 749 * DRS Technologies, Inc. 20,939 746 * Lone Star Technologies, Inc. 42,368 746 Granite State Bankshares, Inc. 31,550 745 Park Electrochemical Corp. 28,200 744 * Integrated Silicon Solution, Inc. 60,774 744 * City Holding Co. 61,782 744 Rock-Tenn Co. 51,616 743 R & G Financial Corp. Class B 43,354 743 * People's Bancshares, Inc. 34,550 743 * Astec Industries, Inc. 51,259 741 * ViroPharma Inc. 32,254 740 * Avatar Holding, Inc. 31,400 740 * Regent Communications, Inc. 109,576 740 * Aether Systems, Inc. 80,315 739 * Nautica Enterprises, Inc. 57,734 738 Simmons First National 22,930 737 * Pharmacopeia, Inc. 53,068 737 * Financial Federal Corp. 23,550 736 * Trex Co., Inc. 38,700 735 * United Defense Industries Inc. 34,900 735 * RadiSys Corp. 37,298 733 30 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Interpore International 88,000 732 Central Bancorp, Inc. 27,700 731 * Bone Care International, Inc. 42,645 731 * Magnatek, Inc. 80,888 729 * General Maritime Corp. 72,776 728 * DIANON Systems, Inc. 11,957 727 * Offshore Logistics, Inc. 40,859 726 * Applied Molecular Evolution 58,913 725 * Lifeline Systems, Inc. 30,300 725 * Miravant Medical Technologies 75,267 723 * Illumina, Inc. 61,399 722 * Quiksilver, Inc. 41,965 722 Brush Engineered Materials Inc. 50,564 720 Advanta Corp. Class A 72,391 720 * Nu Horizons Electronics Corp. 69,950 719 * Silicon Graphics, Inc. 342,239 719 * Safeguard Scientifics, Inc. 205,295 719 * Peregrine Pharmaceuticals, Inc. 209,461 718 Hugoton Royalty Trust 70,436 718 * School Specialty, Inc. 31,388 718 Mission West Properties Inc. REIT 56,366 717 * Mykrolis Corp. 44,802 717 Correctional Properties Trust REIT 42,400 717 * Factory 2-U Stores Inc. 35,739 716 * Aphton Corp. 49,011 716 Westbanco Inc. 33,863 716 National Presto Industries, Inc. 25,763 715 * The Profit Recovery Group International, Inc. 87,681 715 * Korn/Ferry International 67,001 714 * Capstone Turbine Corp. 131,800 713 Myers Industries, Inc. 52,069 711 * OneSource Information Services, Inc. 75,600 711 * Hector Communications Corp. 42,650 710 HEICO Corp. Class A 52,526 709 Florida East Coast Industries, Inc. Class A 30,596 708 * Vical, Inc. 57,859 708 * Stein Mart, Inc. 84,417 706 * Dobson Communications Corp. 82,620 706 * Capital Crossing Bank 38,427 705 * Elizabeth Arden, Inc. 46,155 705 * Vivus, Inc. 144,700 705 * Aspect Medical Systems, Inc. 70,307 703 * Genesee & Wyoming Inc. Class A 21,524 703 Spartan Motors, Inc. 109,600 701 Penn Engineering & Manufacturing Corp. 41,864 701 * World Acceptance Corp. 96,006 701 * ArthroCare Corp. 39,063 700 Scope Industries 12,500 700 * Orphan Medical, Inc. 53,200 700 * SpeechWorks International Inc. 62,078 698 * MSC.Software Corp. 44,760 698 * Triad Guaranty, Inc. 19,238 698 * Noven Pharmaceuticals, Inc. 39,262 697 * Revlon, Inc. Class A 104,600 697 * Startek, Inc. 36,741 696 * OTG Software, Inc. 69,450 695 * Research Frontiers, Inc. 41,400 694 * Multilink Technology Corp. 107,061 694 * Triumph Group, Inc. 21,344 694 * Escalade, Inc. 12,619 692 * Boston Communications Group, Inc. 60,959 692 * QRS Corp. 49,049 692 * Anaren Microwave, Inc. 39,762 689 * Volt Information Sciences Inc. 40,248 688 Midwest Grain Products 59,508 688 * CTB International Corp. 62,900 686 * The Boyds Collection, Ltd. 101,268 686 * Rural Cellular Corp. Class A 30,731 684 National Penn Bancshares Inc. 31,071 684 * Avanex Corp. 115,677 682 * VitalWorks Inc. 120,765 682 * Plug Power, Inc. 78,036 682 * Labor Ready, Inc. 133,377 682 * TransTechnology Corp. 66,800 681 * The Medicines Co. 58,681 680 Frisch's Restaurants, Inc. 43,999 680 * Stratos Lightwave, Inc. 110,326 679 Washington Trust Bancorp, Inc. 35,653 677 * Buckeye Technology, Inc. 58,886 677 * Republic Bancshares, Inc. 51,949 675 Florida East Coast Industries, Inc. Class B 32,159 672 * Value City Department Stores, Inc. 142,902 672 * Res-Care, Inc. 75,882 672 Oneida Ltd. 51,802 671 AAR Corp. 74,386 670 * Trident Microsystems, Inc. 87,600 670 Irwin Financial Corp. 39,400 670 * Cumulus Media Inc. 41,380 670 * Caliper Technologies Corp. 42,838 669 * Mesa Air Group Inc. 88,898 669 * EMS Technologies, Inc. 41,550 668 * Chordiant Software, Inc. 84,456 668 First Source Corp. 32,272 668 * Sharper Image Corp. 56,800 667 * Crown Media Holdings, Inc. 59,107 667 * Rare Hospitality International Inc. 29,564 666 Great Southern Bancorp, Inc. 21,844 666 31 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Craftmade International, Inc. 42,400 666 * Capital Corp. of the West 45,115 665 Redwood Empire Bancorp 27,150 665 * TranSwitch Corp. 147,434 663 * Boron, LePore & Associates, Inc. 48,042 662 Cleveland-Cliffs Iron Co. 36,200 662 * Ciphergen Biosystems, Inc. 82,764 662 Pacific Crest Capital Inc. 31,345 660 * Systems & Computer Technology Corp. 63,790 660 BostonFed Bancorp, Inc. 27,300 658 * Centra Software, Inc. 82,188 658 HMN Financial, Inc. 42,300 655 * Artesyn Technologies, Inc. 70,303 655 Vesta Insurance Group, Inc. 81,807 654 * Q-Med, Inc. 53,100 653 * Viewpoint Corp. 95,862 653 * Kenneth Cole Productions, Inc. 36,858 652 * Heidrick & Struggles International, Inc. 35,852 651 UNITILI Corp. 27,800 651 * Allen Telecom Inc. 76,425 650 * SONICblue Inc. 160,732 649 * PC-Tel, Inc. 66,700 648 * DigitalThink, Inc. 59,964 648 * Lipid Sciences, Inc. 83,405 647 * Aurora Foods Inc. 128,008 646 * Aviall Inc. 85,300 644 * Energy Conversion Devices, Inc. 33,883 643 * MapInfo Corp. 40,943 642 * IDX Systems Corp. 49,359 642 * V.I. Technologies, Inc. 92,376 642 TC Pipelines, L.P. 25,170 642 Bassett Furniture Industries, Inc. 45,760 641 Pilgrim's Pride Corp. 47,286 641 * U S Liquids Inc. 112,700 640 Oregon Trail Financial Corp. 36,400 639 * LendingTree, Inc. 108,261 639 * Sipex Corp. 49,572 637 * A.S.V., Inc. 54,600 637 * Ultratech Stepper, Inc. 38,461 635 Greater Delaware Valley Savings Bank 23,228 635 * Oil States International, Inc. 69,615 633 Franklin Electric, Inc. 7,718 633 Abington Bancorp Inc. 41,700 631 * CSK Auto Corp. 63,225 629 LaSalle Hotel Properties REIT 53,464 628 Met-Pro Corp. 47,846 627 NACCO Industries, Inc. Class A 11,020 626 Community Bank System, Inc. 23,851 625 * Portal Software, Inc. 299,283 623 * Acacia Research Corp. 56,161 622 Alabama National BanCorporation 18,442 622 * KFX, Inc. 207,750 621 F & M Bancorp 24,403 621 * Central Garden and Pet Co. 73,400 621 * Trans World Entertainment Corp. 81,617 620 * Playboy Enterprises, Inc. Class B 36,721 620 HEICO Corp. 41,081 619 * Internet Capital Group, Inc. 510,030 617 * Biopure Corp. 43,369 616 Keithley Instruments Inc. 36,445 616 * Inspire Pharmaceuticals, Inc. 43,711 616 * CCC Information Services Group 99,565 615 * Software Spectrum, Inc. 39,200 614 TriCo Bancshares 32,300 614 The Laclede Group, Inc 25,659 613 * 3Tec Energy Corp. 43,757 613 * William Lyon Homes, Inc. 40,141 612 * Young Broadcasting Inc. 34,049 611 * Three-Five Systems, Inc. 38,406 611 * Maxxam Inc. 34,900 611 * Parker Drilling Co. 164,958 609 * Vans, Inc. 47,758 608 * Blue Rhino Corp. 101,200 607 Sauer-Danfoss, Inc. 75,740 606 * Texas Biotechnology Corp. 93,119 605 * Royal Appliance Manufacturing Co. 121,200 605 NYMAGIC, Inc. 37,500 603 * Key3Media Group, Inc. 112,887 602 * Keynote Systems Inc. 64,287 601 * FalconStor Software, Inc. 66,300 601 United Community Financial Corp. 83,228 599 * Molecular Devices Corp. 28,643 598 * Covansys Corp. 66,723 597 * Arris Group Inc. 61,110 596 * Water Pik Technologies, Inc. 68,600 596 Donnelly Corp. 45,273 595 * World Wrestling Federation Entertainment, Inc. 45,260 595 * Continental Materials Corp. 30,200 595 * Gulfmark Offshore, Inc. 20,928 592 * Telular Corp. 64,525 592 * Rent-Way, Inc. 98,687 591 * Landmark Systems Corp. 133,000 589 * Maxim Pharmaceuticals, Inc. 85,382 589 Steelcase Inc. 39,995 589 BHA Group Holdings Inc. 39,137 587 Maine Public Service Co. 19,700 586 * North American Scientific, Inc. 43,735 586 A.M. Castle & Co. 71,390 585 * UQM Technologies, Inc. 107,500 585 * Mastec Inc. 84,098 584 32 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Klamath First Bancorp 44,400 584 CPI Corp. 35,137 583 Warren Bancorp, Inc. 61,600 582 * American Superconductor Corp. 47,460 582 Bowne & Co., Inc. 45,395 581 EDO Corp. 21,955 581 * Transaction Systems Architects, Inc. 47,271 580 * Sangamo BioSciences, Inc. 62,000 579 Tecumseh Products Co. Class B 11,900 579 * BE Avionics Inc. 63,091 579 Green Mountain Power Corp. 31,007 578 Engineered Support Systems, Inc. 16,889 578 PVF Capital Corp. 51,988 577 * Instinet Group Inc. 57,289 576 L. S. Starrett Co. Class A 27,600 575 Ampco-Pittsburgh Corp. 53,365 574 * I-many, Inc. 59,351 573 * Bell Microproducts Inc. 45,151 570 * Rainbow Technologies, Inc. 77,000 570 * Harvard Bioscience, Inc. 57,300 570 First Essex Bancorp, Inc. 20,200 569 * Hoenig Group, Inc. 54,300 569 * Management Network Group Inc. 82,399 569 * Mattson Technology, Inc. 64,507 568 * Ace Cash Express, Inc. 60,350 567 RAIT Investment Trust REIT 34,800 567 * Terra Industries, Inc. 161,190 564 * AXT, Inc. 39,061 564 * Aware, Inc. 67,800 563 * Crown Cork & Seal Co., Inc. 221,400 562 * ON Semiconductor Corp. 271,560 562 * Rainbow Rentals, Inc. 79,000 562 * Radiant Systems, Inc. 48,829 562 First Bell Bancorp, Inc. 40,200 561 Psychemedics, Inc. 136,456 559 Herbalife International Class B 42,400 559 Southern Financial Bancorp, Inc. 21,120 559 * BioLase Technology, Inc. 98,100 558 * Mapics Inc. 90,600 558 * Genome Therapeutics Corp. 81,903 558 * Columbia Banking System, Inc. 42,562 555 * Wiser Oil Co. 103,800 555 * Digi International, Inc. 87,150 555 Bank of Granite Corp. 28,052 555 * K2 Inc. 76,830 554 * Guilford Pharmaceuticals, Inc. 46,082 553 * Geron Corp. 63,468 552 * PTEK Holdings, Inc. 162,073 551 Knape & Vogt Manufacturing Co. 41,868 551 * Universal Display Corp. 60,500 551 * PDI, Inc. 24,641 550 * Navigant Consulting, Inc. 99,890 549 * Todd Shipyards Corp. 61,575 548 * Magellan Health Services, Inc. 86,199 547 * MIPS Technologies, Inc. Class B 68,433 546 * Actuate Software Corp. 103,567 546 * Consolidated Graphics, Inc. 28,343 546 * Gabelli Asset Management Inc. 12,621 545 * Visual Networks, Inc. 117,900 545 * Consolidated Freightways Corp. 106,850 544 * Martha Stewart Living Omnimedia, Inc. 33,044 544 Angelica Corp. 50,100 543 Badger Meter, Inc. 24,200 543 * CKE Restaurants Inc. 59,919 542 * hi/fn, inc 37,467 542 Guaranty Federal Bancshares, Inc. 39,700 542 * Orbital Sciences Corp. 130,800 540 * Spectrian Corp. 48,700 537 * Oplink Communications, Inc. 284,416 536 * Genzyme Molecular Oncology 66,951 536 * Raindance Communications, Inc 93,736 535 * MemberWorks, Inc. 38,200 535 * Clayton Williams Energy, Inc. 40,800 534 * Beasley Broadcast Group, Inc. 41,065 534 * Arena Pharmaceuticals, Inc. 44,256 532 Flexsteel Industry 47,300 532 * Genzyme Transgenics Corp. 91,400 532 Penford Corp. 42,709 532 * ACT Teleconferencing, Inc. 69,200 529 * Hydrill Co. 29,958 528 Virco Manufacturing Corp. 52,782 528 * Transmeta Corp. 229,830 526 * Merix Corp. 30,490 526 Ohio Valley Banc Corp. 21,725 526 * IMCO Recycling, Inc. 73,500 526 * Western Multiplex Corp. 97,237 525 * SITEL Corp. 218,600 525 * LoJack Corp. 96,200 524 * Wireless Facilities, Inc. 77,824 524 * Herley Industries Inc. 30,700 522 * PRAECIS Pharmaceuticals Inc. 89,553 521 * Zygo Corp. 32,749 521 * Rentrak Corp. 88,000 519 Main Street Bancorp, Inc. 33,235 519 * Nuance Communications Inc. 56,924 518 * Neurogen Corp. 29,550 517 Aceto Corp. 49,662 516 * A.T. Cross Co. Class A 87,506 516 Methode Electronics, Inc. Class A 64,500 516 * PolyMedica Corp. 30,900 513 * Goody's Family Clothing 121,800 512 33 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Pegasystems Inc. 117,200 510 Boykin Lodging Co. REIT 63,900 509 Wabash National Corp. 65,278 509 * Brightpoint, Inc. 161,997 509 * UNOVA, Inc. 87,665 508 * Inforte Corp. 36,381 508 Redwood Trust, Inc. REIT 20,948 508 * NTELOS Inc. 32,753 507 * ARIAD Pharmaceuticals, Inc. 95,000 506 * Next Level Communications, Inc. 151,118 506 * Digital Lightwave, Inc. 53,939 506 * COMARCO, Inc. 33,150 506 California Independent Bancorp 22,303 505 Yardville National Bancorp 40,385 505 * Cholestech Corp. 25,339 502 * Roxio, Inc. 30,311 502 First Mutual Bancshares, Inc. 37,144 501 Cathay Bancorp, Inc. 7,826 501 * Mesaba Holdings, Inc. 70,300 501 * MetaSolv, Inc. 63,710 500 * Magnum Hunter Resources Inc. 60,115 499 * Danielson Holdings Corp. 112,200 498 * 1-800 CONTACTS, Inc. 40,000 498 * Zomax Inc. 62,197 497 * Sanchez Computer Associates, Inc. 57,980 496 * Cytogen Corp. 164,405 495 * Captaris Inc. 134,100 495 * Omega Healthcare Investors, Inc. REIT 82,141 494 * ParkerVision, Inc. 23,541 494 * Imagistics International Inc. 40,000 494 U.S.B. Holding Co., Inc. 29,295 494 * HotJobs.com Ltd. 47,508 494 * U.S. Energy Corp. 102,770 493 * New Focus, Inc. 129,119 492 TF Financial Corp. 23,312 492 * Datastream Systems, Inc. 79,500 491 * Cygnus Inc. 93,400 490 * UTStarcom, Inc. 17,186 490 * Triangle Pharmaceuticals, Inc. 122,123 490 * Central Coast Bancorp 22,200 488 PMC Capital, Inc. 68,800 488 * The Middleby Corp. 93,800 488 * Syntroleum Corp. 68,606 487 * ADE Corp. 48,600 486 * JNI Corp. 58,477 486 Apex Mortgage Capital, Inc. REIT 43,091 485 * Spanish Broadcasting System, Inc. 48,907 484 * BWC Financial Corp. 23,111 483 * DocuCorp International,Inc 77,740 482 * Florida Banks, Inc. 79,000 482 * AnswerThink Consulting Group, Inc. 73,331 479 * Titan Pharmaceuticals, Inc. 48,684 478 * Active Power, Inc. 70,097 477 * Planvista Corp. 96,200 476 United Fire & Casualty Co. 16,631 476 * United Therapeutics Corp. 45,672 475 MutualFirst Financial Inc. 31,474 475 * Art Technology Group, Inc. 136,507 475 * Matrix Bancorp, Inc. 45,200 475 * Genuity Inc. 300,147 474 Royal Gold, Inc. 91,222 473 * NASSDA Corp. 21,000 472 * Network Equipment Technologies, Inc. 86,647 472 * Trico Marine Services, Inc. 62,401 471 * Kana Software, Inc. 24,102 469 * Proxim, Inc. 46,977 466 * Microvision, Inc. 32,643 465 Liberty Homes, Inc. Class A 84,900 464 * Navigant International, Inc. 40,421 463 * Friendly Ice Cream Corp. 116,700 462 * Standard Microsystem 29,749 462 * Centillium Communications, Inc. 58,722 462 * CTC Communications Group, Inc. 89,293 460 * Skechers U.S.A., Inc. 31,451 460 * Mercator Software, Inc. 54,955 459 * Valence Technology Inc. 136,300 459 * Virage Logic Corporation 23,884 459 * Superconductor Technologies Inc. 70,400 458 * ITXC Corp. 63,527 457 * AP Pharma Inc. 163,100 457 CPB, Inc. 15,500 456 * Bottomline Technologies, Inc. 42,000 455 * SafeNet, Inc. 24,000 455 * NATCO Group Inc. 64,816 454 * Biosite Inc. 24,645 453 USG Corp. 79,100 452 * Kforce Inc. 71,866 452 Landmark Bancorp Inc. 22,050 450 * US LEC Corp. Class A 83,100 450 * Mitcham Industries, Inc. 98,800 450 * RCN Corp. 153,358 449 * Lexent Inc. 71,790 449 * Franklin Covey Co. 74,300 448 * OPNET Technologies, Inc. 31,085 448 * NTL Inc. 476,479 448 * Rocky Shoes & Boots, Inc. 77,500 447 * The Pantry, Inc. 81,900 446 * Dave & Buster's, Inc. 71,060 446 * Wesco International, Inc. 90,096 446 * Allou Health & Beauty, Inc. 79,100 445 * Proton Energy Systems, Inc. 53,974 445 34 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * ORATEC Interventions, Inc. 68,711 445 * The Sports Authority, Inc. 77,906 444 * Audiovox Corp. 59,500 444 * M&F Worldwide Corp. 103,030 443 * Superior Consultant Holdings Corp. 52,600 442 * AVANT Immunotherapeutics, Inc. 110,086 441 * TTM Technologies, Inc. 43,604 441 * Greka Energy Corp. 50,835 440 Bush Industries, Inc. 40,310 438 * Seven Seas Petroleum Inc. 206,700 436 * Millennium Cell Inc. 83,498 436 State Financial Services Corp. Class A 37,500 433 * MEMC Electronic Materials, Inc. 121,596 432 * APAC Teleservices, Inc. 165,589 431 Port Financial Corp. 16,500 430 * Luby's, Inc. 75,230 430 Ohio Art Co. 14,800 429 Puerto Rican Cement Co., Inc. 22,700 429 * Dyax Corp. 39,041 428 * Versant Corp. 105,400 428 * Osteotech, Inc. 76,450 424 * Packeteer, Inc. 57,498 424 * Onyx Acceptance Corp. 81,500 423 * SCM Microsystems, Inc. 28,848 422 * Rimage Corp. 52,000 422 Bairnco Corp. 70,200 422 * Earthshell Corp. 210,721 421 Midas Inc. 36,597 421 * Waste Holdings, Inc. 66,750 421 * Foamex International, Inc. 51,784 419 * Infinity, Inc. 39,000 419 * Gadzooks, Inc. 30,500 419 * Advance Auto Parts, Inc. 8,400 418 BNP Residential Properties, Inc. REIT 40,500 418 * EntreMed, Inc. 49,260 416 * Traffix, Inc. 57,400 416 * Metromedia Fiber Network, Inc. 945,228 416 * Kadant Inc. 28,673 416 * Columbia Laboratories Inc. 120,100 414 * Silicon Image, Inc. 110,179 414 * Simula, Inc. 69,000 414 * Bank Plus Corp. 56,791 412 * Hexcel Corp. 133,600 411 * Evans & Sutherland Computer Corp. 61,997 411 * ePlus Inc. 43,000 411 * Hollywood Media Corp. 62,300 411 * Orchid Biosciences 74,315 409 * TiVo Inc. 62,200 407 * Saba Software, Inc. 78,009 407 American Land Lease, Inc. REIT 31,014 406 * Datum Inc. 29,300 406 Mine Safety Appliances Co. 10,049 403 The First Years Inc. 31,400 402 * The Rottlund Co. 56,700 400 * IXYS Corp. 49,400 400 United Mobile Homes, Inc. REIT 32,700 398 Summit Bancshares, Inc. 22,000 398 * ShopKo Stores, Inc. 41,842 397 Conestoga Enterpirses, Inc. 12,429 397 * QAD Inc. 136,300 397 * Alcide Corp. 16,500 396 * Midwest Express Holdings, Inc. 27,100 396 Intermet Corp. 118,100 396 Timberline Software Corp. 65,933 396 Capital Automotive REIT 19,885 396 * Hyseq, Inc. 51,200 395 * CenterSpan Communications Corp. 41,600 395 * American Dental Partners, Inc. 62,700 395 * Cobalt Corp. 61,826 394 * Covanta Energy Corp. 87,182 394 * Callon Petroleum Co. 57,500 394 * IDT Corp. 20,165 393 * Century Business Services, Inc. 171,041 393 Communications Systems, Inc. 52,100 393 * McLeodUSA, Inc. Class A 1,058,825 392 * eSPEED, Inc. 46,985 389 * Protection One, Inc. 155,609 389 * Chase Industries, Inc. 42,429 388 * ChromaVision Medical Systems, Inc. 86,300 387 * Graphic Packaging International Corp. 79,702 387 Ryerson Tull, Inc. 35,055 386 * Curon Medical Inc. 87,357 384 * HomeStore.com, Inc. 191,611 383 Medallion Financial Corp. 48,500 383 * GenesisIntermedia Inc. 64,800 382 * Maxwell Technologies, Inc. 38,900 381 * EXE Technologies, Inc. 74,829 381 * Digitas Inc. 94,491 380 Heritage Financial Corp. 31,800 379 North Valley Bancorp 27,700 379 * Universal American Financial Corp. 55,654 378 * Dynamics Research Corp. 21,000 377 First of Long Island Corp. 9,750 377 * Selectica, Inc. 62,119 376 * Abaxis, Inc. 65,800 376 * Modtech Holdings, Inc. 45,379 374 * Tanning Technology Corp. 115,800 372 * II-VI, Inc. 21,542 371 35 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Monterey Pasta Co. 49,700 371 * Robert Mondavi Corp. Class A 9,731 370 * ONYX Software Corp. 94,643 369 * Avigen, Inc. 32,064 369 * Hawthorne Financial Corp. 19,200 369 * Monolithic System Technology, Inc. 17,871 368 * Aspect Communications Corp. 94,700 367 * Nanogen, Inc. 63,400 366 Foster Wheeler Ltd. 71,527 365 * SilverStream Software, Inc. 53,500 364 * Ribozyme Pharmaceuticals, Inc. 79,700 364 * Choice One Communications Inc. 104,056 364 * Sunrise Telecom Inc. 90,812 364 * Blue Martini Software, Inc. 120,274 362 * Clarent Corp. 67,200 361 Merchants Group, Inc. 15,700 361 BEI Technologies, Inc. 20,641 360 * Steinway Musical Instruments Inc. 21,657 360 * WatchGuard Technologies, Inc. 55,177 359 * Westell Technologies, Inc. 135,840 359 * Nobility Homes, Inc. 42,100 358 * Nashua Corp. 61,500 358 * Bombay Co. 156,062 356 * Acceptance Insurance Cos. Inc. 69,900 356 * Rush Enterprises, Inc. 50,900 356 * Interland Inc. 167,865 354 Penton Media, Inc. Class A 56,416 353 * Support.com, Inc. 56,258 353 * Metrologic Instruments, Inc. 49,300 352 Curtiss-Wright Corp. Class B 7,562 352 * Questcor Pharmaceuticals, Inc. 171,500 352 * U.S. Industries, Inc. 137,190 351 * Mississippi Chemical Corp. 123,955 351 * National R. V. Holdings, Inc. 35,773 351 Newmil Bancorp, Inc. 23,900 350 * Equinix, Inc. 120,730 350 * LifeCell Corp. 154,200 350 * PracticeWorks Inc. 35,059 350 * NMS Communications Corp. 72,500 349 * WJ Communications, Inc. 95,705 349 * Novoste Corp. 39,855 348 Boston Acoustics, Inc. 29,000 348 * Critical Path, Inc. 126,847 348 * Acmat Corp. Class A 45,600 347 * American Science & Engineering, Inc. 17,100 346 Vulcan International Corp. 8,600 346 * Gundle/SLT Environmental, Inc. 132,600 345 Penn Virginia Corp. 10,037 342 * SSP Solutions, Inc. 94,400 342 * Mortons Restaurant Group 29,800 341 Omnova Solutions Inc. 50,139 341 * Department 56 Inc. 39,600 341 * Blount International, Inc. 108,414 340 * Transworld Healthcare Inc. 119,445 340 * McMoRan Exploration Co. 58,790 340 Westpoint Stevens, Inc. 138,914 340 * Famous Dave's of America, Inc. 46,500 340 * Universal Stainless & Alloy Products, Inc. 40,700 338 * ZixIt Corp. 66,650 337 * BioTime, Inc. 72,900 335 * Sirenza Microdevices, Inc. 55,063 335 * Immersion Corp. 49,700 335 * Viasys Healthcare Inc. 16,569 335 * Globecomm Systems, Inc. 55,300 334 Second Bancorp, Inc. 15,443 334 Caraustar Industries, Inc. 47,900 332 * Playboy Enterprises Inc. Class A 22,850 331 Humphrey Hospitality Trust, Inc. REIT 111,700 330 * Concord Camera Corp. 41,600 329 * BSQUARE Corp. 78,900 329 * Predictive Systems, Inc. 167,500 328 * The Source Information Management Co. 61,300 327 * MCG Capital Corp. 18,300 326 * Commonwealth Telephone Enterprises Class B 7,400 325 * Horizon Offshore, Inc. 42,882 323 * Technology Solutions Co. 144,896 322 * Brio Software, Inc. 111,400 321 * CoStar Group, Inc. 13,301 319 * Epimmune Inc. 106,200 319 * Netro Corp. 86,563 318 * FMC Technologies Inc. 19,300 317 * Manufacturers' Services Ltd. 50,753 317 * Clarus Corp. 50,800 317 * iGATE Capital Corp. 77,147 316 Madison Gas & Electric Co. 11,956 316 * American Pharmaceuticals Partners, Inc. 15,200 316 * Sonic Innovations, Inc. 68,620 316 * EEX Corp. 171,433 315 Progress Financial Corp. 41,838 314 * Image Entertainment, Inc. 130,500 313 * Internap Network Services Corp. 269,300 312 * Tumbleweed Communications Corp. 52,588 312 * Cohesion Technologies, Inc. 62,703 312 Cavalry Bancorp, Inc. 27,200 312 * Enesco Group, Inc. 49,400 311 * Jenny Craig Inc. 100,600 310 * Cysive, Inc. 109,400 307 36 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Kramont Realty Trust REIT 21,053 307 * America Service Group Inc. 40,200 307 * Divine Inc. 410,621 304 * Federal Agricultural Mortgage Corp. Class A 10,441 304 * Mobius Management Systems, Inc. 101,200 304 * Switchboard Inc. 93,376 303 * Turnstone Systems, Inc. 76,405 303 * ResortQuest International, Inc. 63,700 303 * National Techteam, Inc. 97,700 303 * Bio-logic Systems, Corp. 46,200 303 * eXegenics Inc. 90,800 302 * Ditech Communications Corp. 50,200 302 * VIB Corp. 31,939 302 * Wackenhut Corp. Class B 15,862 302 * Kaiser Aluminum Corp. 186,006 301 * Oregon Steel Mills, Inc. 60,800 301 * Large Scale Biology Corp. 66,585 300 * Perini Corp. 42,790 300 * American Bank Note Holographics, Inc. 186,000 299 * Advanced Magnetics, Inc. 83,100 299 First Bancorp North Carolina 13,196 298 * Mechanical Technology Inc. 108,600 298 * Lydall, Inc. 29,700 297 * Mossimo, Inc. 84,800 297 * SoundView Technology Group, Inc. 127,099 296 * Gartner, Inc. Class B 26,413 296 * Key Production Company, Inc. 17,349 295 * Garden Fresh Restaurant Corp. 44,600 295 * H Power Corp. 94,435 295 * 3 Dimensional Pharmaceuticals 34,678 294 * Comfort Systems USA, Inc. 79,400 294 * Micronetics Wireless, Inc. 80,900 294 * Berkshire Hathaway Inc. Class B 116 293 * Argonaut Technologies Inc. 69,700 293 * Pharmacyclics, Inc. 29,420 292 * Zila, Inc. 121,800 292 * Mail-Well, Inc. 70,758 290 * US Unwired Inc. 28,323 288 * E-Z-EM, Inc. Class A 49,700 288 * Aclara Biosciences, Inc. 56,739 288 * Ultralife Batteries, Inc. 63,800 286 * DJ Orthopedics Inc. 21,500 286 * Computer Task Group, Inc. 72,508 286 Three Rivers Bancorp, Inc. 22,850 286 * Team, Inc. 42,300 286 * Repligen Corp. 116,700 284 LSB Bancshares, Inc. 22,100 284 * Gaylord Container Corp. 280,600 283 Urstadt Biddle Properties REIT 26,600 283 * Collateral Therapeutics, Inc. 45,200 283 * Headwaters Inc. 24,674 283 * Laser Vision Centers, Inc. 135,700 281 Bank Mutual Corp. 18,373 281 * Cosine Communications, Inc. 179,672 278 * Crossroads Systems, Inc. 61,800 277 * ValueClick, Inc. 96,973 277 * StorageNetworks, Inc. 44,685 276 Penn Engineering & Manufacturing Corp. Class A 16,600 276 * Mediware Information Systems, Inc. 62,700 276 Big Foot Financial Corp. 17,400 275 * Candela Corp. 69,800 274 * Data Systems & Software, Inc. 56,500 274 * Carreker Corp. 46,000 271 Cascade Natural Gas Corp. 12,300 271 * BioCryst Pharmaceuticals, Inc. 68,300 270 Connecticut Bancshares, Inc. 10,431 270 * PC Mall, Inc. 66,400 270 * New Century Financial Corp. 19,869 269 * Lawson Software 17,000 268 * Titanium Metals Corp. 67,100 268 Golden Enterprises Inc. 75,900 267 * Eden Bioscience Corp. 52,421 266 * Lynx Therapeutics Inc. 65,925 266 * Integrated Electrical Services, Inc. 51,700 265 * Applied Innovation Inc. 42,600 264 * Stamps.Com Inc. 73,679 264 * AtheroGenics, Inc. 43,300 262 * Fairchild Corp. 90,300 262 * Fidelity National Information Solutions, Inc. 25,637 261 * NetManage, Inc. 255,657 261 * National Information Consortium, Inc. 81,988 261 Community Capital Corp. 23,110 260 * Key Tronic Corp. 167,700 260 * Willis Lease Finance Corp. 56,000 260 BMC Industries, Inc. 126,104 260 * Troy Group, Inc. 63,800 258 * Paradyne Networks, Inc. 65,600 256 Amcast Industrial Corp. 47,400 255 * Lexar Media, Inc. 96,483 255 * Hoover's, Inc. 70,600 254 * Isignia Systems, Inc. 30,100 253 * Global Power Equipment Group Inc. 16,800 253 * OAO Technology Solutions, Inc. 103,620 253 * MTI Technology Corp. 140,400 253 * Interlink Electronics Inc. 58,350 253 * Medtox Scientific, Inc. 21,802 252 37 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Workflow Management, Inc. 52,545 251 * Colorado MEDtech, Inc. 84,700 250 * Vasomedical, Inc. 67,399 249 * Avici Systems Inc. 85,471 249 * Delta Apparel, Inc. 11,890 249 * Raytel Medical Corp. 32,733 247 * Be Free, Inc. 116,500 247 * XETA Technologies Inc. 42,500 247 * SureBeam Corp. 23,500 246 * Multex.com Inc. 54,604 246 Peoples Holding Co. 6,631 245 Marine Products Corp. 55,020 245 * Meade Instruments Corp. 68,200 244 * Viant Corp. 146,000 244 * Catalytica Energy Systems, Inc. 53,342 244 * Sterling Financial Corp. 16,745 244 * Neoforma, Inc. 8,356 244 MFB Corp. 12,000 241 * Bluegreen Corp. 120,440 241 Acadia Realty Trust REIT 37,900 241 * Insmed Inc. 62,787 240 America First Mortgage Investments, Inc. REIT 27,246 238 Ameriserv Financial Inc. 48,900 235 * Variagenics, Inc. 76,200 235 * Epicor Software Corp. 157,412 235 * Natrol, Inc. 93,100 234 * Niku Corp. 143,459 234 * Ventiv Health, Inc. 63,733 233 * Ebenx Inc. 57,270 233 * Hanger Orthopedic Group, Inc. 38,700 232 * Glenayre Technologies, Inc. 141,812 231 Boston Private Financial Holdings, Inc. 10,461 231 * Barrett Business Services, Inc. 62,300 231 * Embrex, Inc. 12,800 229 JP Realty Inc. REIT 9,562 227 Mystic Financial, Inc. 16,400 227 * Belmont Bancorp 64,640 226 East Texas Financial Services, Inc. 24,000 226 * ShoLodge, Inc. 39,333 224 Pilgrim's Pride Corp. Class A 23,100 222 * Mayor's Jeweler's, Inc. 138,600 222 * Ask Jeeves, Inc. 64,900 221 * Click Commerce, Inc. 69,455 219 * Sanders Morris Harris Group Inc. 42,775 218 DeWolfe Companies, Inc. 19,800 217 * Republic First Bancorp, Inc. 43,830 217 * Party City Corp. 28,800 216 * VA Software Corp. 88,146 216 ABC Bancorp 16,100 215 * America West Holdings Corp. Class B 61,300 215 * Maynard Oil Co. 11,000 214 * TransPro Inc. 69,110 214 * Infocrossing, Inc. 35,200 214 * Media 100 Inc. 143,489 214 * American Software, Inc. Class A 92,150 214 German American Bancorp 13,172 213 Southwest Water Co. 15,095 213 * TSR, Inc. 37,300 213 * Inverness Medical Innovations, Inc. 11,756 212 * VerticalNet, Inc. 151,300 212 * Docent, Inc. 66,800 212 * Wilsons The Leather Experts Inc. 18,557 212 * Latitude Communications, Inc. 79,700 211 * Twinlab Corp. 155,500 210 * United Online, Inc. 49,946 210 * Virbac Corp. 41,610 210 * Oxigene, Inc. 68,061 209 Union Community Bancorp 15,000 208 * Princeton Video Image, Inc. 93,800 208 Bowl America, Inc. Class A 18,754 208 * E-LOAN, Inc. 112,400 207 * Home Products International Inc. 63,520 206 * Extended Systems Inc. 27,300 204 * Steven Madden, Ltd. 14,500 204 * LookSmart, Ltd. 145,700 204 * Park-Ohio Holdings Corp. 64,009 204 * Penn Octane Corp. 55,000 204 * Liberty Digital, Inc. 58,800 203 * Conductus, Inc. 74,500 203 First Sentinel Bancorp Inc. 16,203 203 * barnesandnoble.com inc 130,749 201 National Golf Properties, Inc. REIT 22,600 200 Liberte Investors, Inc. 51,400 200 Konover Property Trust, Inc. REIT 133,400 200 * MarketWatch.com, Inc. 60,800 200 * Carrier Access Corp. 68,503 200 American Home Mortgage Holdings, Inc. 16,447 199 * Echo Bay Mines Ltd. 374,500 198 * MicroStrategy Inc. 51,400 198 * Neon Communications, Inc. 72,600 197 * Braun Consulting, Inc. 55,300 196 * E. Gottschalk & Co., Inc. 75,500 196 Timberland Bancorp, Inc. 12,400 192 * Peco II, Inc. 32,170 192 * Glacier Water Services, Inc. 23,900 191 * Lakes Gaming, Inc. 30,800 191 * BayCorp Holdings, Ltd. 20,200 190 * Capital Trust Class A 32,500 187 Parkvale Financial Corp. 8,600 187 * Clean Harbors Inc. 55,200 186 * Netscreen Technologies, Inc. 8,400 186 * CacheFlow Inc. 69,213 185 38 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Vista Bancorp, Inc. 6,905 185 * Metawave Communications Corp. 59,099 184 * SignalSoft Corp. 41,018 183 * Loudcloud, Inc. 43,211 183 * Zoltek Cos., Inc. 77,200 183 * Click2learn, Inc, 60,700 182 * Omega Worldwide, Inc. 111,315 181 * Pumatech, Inc. 69,700 180 United Guardian, Inc. 34,600 178 * Gilman & Ciocia, Inc. 77,800 178 * LightPath Technologies, Inc. 50,100 178 * Uniroyal Technology Corp. 55,200 177 * LCA-Vision, Inc. 200,237 176 * Net2Phone, Inc. 26,000 176 * Intertrust Technologies Corp. 142,240 175 * ACTV, Inc. 92,901 174 * Netopia, Inc. 31,200 173 * Cardinal Financial Corp. 27,100 173 Nitches Inc. 30,128 171 * Lightspan Inc. 123,639 171 Flagstar Bancorp, Inc. 8,457 170 * Encore Acquisition Co. 12,787 170 * Wave Systems Corp. 75,400 169 * Competitive Technologies, Inc. 60,300 169 * First Virtual Communications, Inc 157,400 168 * Convera Corp. 50,200 168 * i3 Mobile, Inc. 112,764 168 * Hathaway Corp. 58,200 168 * Immune Response 124,983 167 * Semitool, Inc. 14,480 166 * Hecla Mining Co. 175,800 165 * Allscripts Healthcare Solutions, Inc. 50,700 164 Pacific Gulf Properties, Inc. REIT 98,300 162 * Worldwide Restaurant Concepts Inc. 136,050 162 * Digital Generation Systems 145,795 162 * Sorrento Networks Corp. 44,900 161 Horizon Financial Corp. 13,650 161 * Communication Intelligence Corp. 251,600 161 * Viasystems Group, Inc. 255,041 161 * Wyndham International, Inc. Class A 286,283 160 * Optical Cable Corp. 98,150 160 * J Net Enterprises, Inc. 61,627 160 * Owens Corning 84,000 160 Winston Hotels, Inc. REIT 20,600 159 * MediChem Life Sciences, Inc. 109,945 159 * WorldGate Communications, Inc. 63,500 159 * Phoenix Technologies Ltd. 13,574 158 * Gainsco, Inc. 98,261 157 * eXcelon Corp. 134,089 157 * IntraBiotics Pharmaceuticals, Inc. 57,052 156 * Terremark Worldwide, Inc. 272,700 155 * Criimi Mae, Inc. REIT 38,435 155 * Interleukin Genetics, Inc. 113,700 155 * V-One Corp. 107,400 154 * Segue Software, Inc. 73,200 153 * Tradestation Group Inc. 97,880 153 * Astronics Corp. 13,460 152 * Electric Fuel Corp. 91,100 151 Astro-Med, Inc. 41,850 151 * eGain Communications Corp. 107,882 151 * Copper Mountain Networks, Inc. 89,200 151 Kentucky First Bancorp, Inc. 11,600 150 * Encompass Services Corp. 51,595 150 * Exabyte Corp. 139,800 150 * Autobytel Inc. 85,406 147 * Ethyl Corp. 159,904 147 * Alpine Group, Inc. 86,300 147 * Bitstream Inc. 21,300 146 * AT&T Latin America Corp. Class A 123,700 146 * JLM Industries, Inc. 91,500 145 * MPW Industrial Services Group, Inc. 63,200 145 * Liquid Audio, Inc. 61,700 145 * DSL.Net, Inc. 114,099 144 * Medical Action Industries Inc. 9,236 143 * Hemispherx Biopharma, Inc. 31,600 142 * PurchasePro.com, Inc. 117,400 142 * inSilicon Corp. 58,000 141 * Systemax Inc. 58,546 141 * SoftNet Systems, Inc. 75,800 140 * Gallery of History, Inc. 25,900 140 * Resonate Inc. 49,662 139 Comdisco, Inc. 266,976 139 Phillips International Realty Corp. REIT 55,100 138 * Advanced Lighting Technologies, Inc. 91,620 137 * Drugstore.com, Inc. 70,200 137 * Tripath Technology Inc. 80,050 137 * Digital Impact, Inc. 93,100 135 * Hanover Direct, Inc. 374,676 135 * BindView Development Corp. 67,000 135 * Strategic Distribution, Inc. 22,030 134 * Network Plus Corp. 115,500 134 * Intraware, Inc. 76,500 134 * Marimba, Inc. 39,600 134 * Scient, Inc. 318,128 134 * Computer Horizons Corp. 41,138 132 Nash-Finch Co. 4,244 132 * National Steel Corp. Class B 91,000 132 * Alliance Pharmaceutical Corp. 38,760 132 * Beacon Power Corp. 101,111 131 39 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Appiant Technologies Inc. 53,900 131 * Samsonite Corp. 96,107 131 * Concur Technologies, Inc. 70,700 130 * Brass Eagle Inc. 23,600 130 Laser Mortgage Management, Inc. REIT 117,900 130 * Level 8 Systems Inc. 47,100 129 * Wilshire Oil Co. of Texas 41,000 128 * Integrated Telecom Express, Inc. 72,990 128 * Ceres Group, Inc. 34,600 128 * Pentastar Communications Inc. 25,500 128 * Young Innovations, Inc. 4,900 127 * Digex, Inc. 42,500 127 * Talk America Holdings, Inc. 308,625 127 * Engage, Inc. 285,900 126 Coastal Bancorp, Inc. 4,327 125 * Novadigm, Inc. 13,165 125 SLI, Inc. 47,678 124 * America Online Latin America, Inc. 27,269 124 * SOS Staffing Services, Inc. 111,500 124 Prime Group Realty Trust REIT 13,400 124 * iBasis, Inc. 94,000 123 * ATP Oil & Gas Corp. 40,800 122 * APW Ltd. 72,650 121 Corporate Office Properties Trust, Inc. REIT 10,180 121 * The Right Start, Inc. 24,400 121 * o2wireless Solutions, Inc. 69,000 120 * California Micro Devices Corp. 25,500 120 * Artisoft, Inc. 69,800 119 * Previo, Inc. 72,225 119 * HPL Technologies, Inc. 6,674 119 * Cellstar Corp. 141,005 118 Equity One, Inc. REIT 8,600 118 * Provell, Inc 71,700 118 * Jupiter Media Metrix, Inc. 70,750 117 * Wink Communications, Inc. 72,900 117 Peoples BancTrust Co., Inc. 9,900 116 * TCSI Corp. 152,829 116 CCBT Financial Cos. Inc. 4,900 116 West Coast Bancorp 8,247 115 * Hamilton Bancorp, Inc. 46,600 114 * Elcom International, Inc. 82,700 114 * SportsLine.com, Inc. 39,000 114 * Lante Corp. 94,000 114 * Extensity, Inc. 52,091 114 * Corio, Inc. 95,679 113 * Applix, Inc. 80,579 113 * Medialink Worldwide, Inc. 43,100 113 * Unity Bancorp, Inc. 17,225 112 * Official Payments Corp. 32,500 112 * Food Technology Service, Inc. 77,050 112 * Natural Alternatives International, Inc. 49,500 111 * Novatel Wireless, Inc. 90,400 110 * Beta Oil & Gas, Inc. 22,600 110 Harrodsburg First Financial Bancorp 9,800 110 * Applied Microsystems Corp. 103,800 109 * Meta Group, Inc. 49,700 109 Herbalife International Class A 7,646 109 Garan, Inc. 2,528 107 * Radio Unica Corp. 76,600 107 Exide Technologies 86,900 107 * Optical Communication Products, Inc. 27,000 106 FNB Financial Services Corp. 7,300 106 * ScreamingMedia Inc. 48,231 106 * NewPower Holdings, Inc. 141,442 105 * CyberSource Corp. 59,400 105 Peoples Bancorp of North Carolina 7,271 104 * Dice Inc. 57,700 104 * Industrial Distribution Group, Inc. 69,200 104 BankAtlantic Bancorp, Inc. Class A 11,227 103 * Procom Technology, Inc. 32,000 102 * Franklin Electronic Publishers, Inc. 72,300 101 * En Pointe Technologies, Inc. 49,300 100 * Covalent Group, Inc. 36,600 100 * Tricord Systems, Inc. 82,800 99 * Personnel Group of America, Inc. 111,196 99 * SpeedUs.com, Inc. 110,500 98 * Sagent Technology, Inc. 103,300 98 * Consumer Portfolio Services, Inc. 71,600 98 * Lifeway Foods, Inc. 14,500 98 * PMR Corp. 56,500 97 * Capital Title Group, Inc. 40,800 97 * CyberCare, Inc. 101,100 97 * iVillage Inc. 51,079 97 * BioSphere Medical Inc. 8,600 97 * ITC DeltaCom, Inc. 110,700 96 * MCK Communications, Inc. 65,000 96 * Metromedia International Group, Inc. 118,500 96 * Maxcor Financial Group Inc. 17,800 96 First M&F Corp. 4,653 95 * Amplidyne, Inc. 121,100 94 Banner Corp. 5,500 93 * PCD, Inc. 53,300 93 * Obie Media Corp. 33,210 91 * Rare Medium Group, Inc. 123,300 91 * Carrington Labs Inc. 88,272 90 * FINOVA Group, Inc. 147,496 90 * Audible, Inc. 119,900 90 40 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Outlook Group Corp. 19,200 90 * Federal-Mogul Corp. 113,442 90 * SystemOne Technologies Inc. 40,500 90 * Vyyo Inc. 61,500 89 * Persistence Software, Inc. 71,100 88 Winfield Capital Corp. 76,500 88 * VIA NET.WORKS, Inc. 84,761 87 * FirePond, Inc. 67,127 87 * Superior Telecom Inc. 76,416 87 * I-STAT Corp. 11,000 87 * Hawk Corp. Class A 24,000 86 * Delta Woodside 97,900 86 * INT Media Group, Inc. 44,900 85 * SAVVIS Communications Corp. 149,523 85 * U.S. Xpress Enterprises, Inc. 9,300 84 * Data Return Corp. 58,100 84 * HyperFeed Technologies, Inc. 137,300 84 FNB Corp./North Carolina 5,500 83 * Wright Medical Group, Inc. 4,662 83 * Cypress Bioscience, Inc. 20,212 83 * Zamba Corp. 135,800 81 * Coeur D'Alene Mines Corp. 102,500 81 * H.T.E., Inc. 40,400 81 * Talarian Corp. 26,707 80 * Primus Telecommunications Group, Inc. 121,400 79 Berkshire Bancorp Inc. 2,785 79 * Virage, Inc. 23,701 78 * eMerge Interactive, Inc. 58,849 78 * Organogenesis, Inc. 16,205 78 * Gliatech Inc. 89,200 76 * Imperial Credit 164,674 76 * Lantronix, Inc. 11,979 76 * Tut Systems, Inc. 32,600 76 * BioSpecifics Technology 40,800 75 * SmartDisk Corp. 64,900 75 * Cepheid, Inc. 17,700 74 * Precision Optics Corp. 103,200 74 * Vicinity Corp. 40,900 74 * Geoworks Corp. (Delaware) 75,100 74 * Vertel Corp. 109,591 73 * WHX Corp. 47,564 73 * Andrea Radio Corp. 85,700 73 * American Coin Merchandising, Inc. 8,800 72 * TheStreet.com, Inc. 56,450 72 * Peerless Systems Corp. 57,500 72 Novastar Financial, Inc. REIT 4,000 72 * Koala Corp. 79,000 71 * Zones, Inc. 88,100 70 * eCollege.com Inc. 21,800 69 * Tarantella, Inc. 118,900 69 * Fusion Medical Technologies, Inc. 12,000 69 * Network Engines, Inc. 68,046 69 * Gadzoox Networks, Inc. 97,800 68 * Craig Corp. 35,023 68 * GRIC Communications, Inc. 53,300 68 * NTN Communications, Inc. 75,300 68 Wainwright Bank & Trust Co. 9,130 68 * Versata, Inc. 73,200 67 * SEEC, Inc. 47,900 67 * New Century Equity Holdings Corp. 133,672 67 * Galyan's Trading Co. 4,649 66 * Focal Communications Corp. 107,200 65 * Com21, Inc. 47,400 65 * CopyTele, Inc. 151,000 65 * Royale Energy, Inc. 10,190 65 * American Access Technologies Inc. 80,800 65 First Midwest Financial, Inc. 4,750 64 * Net Perceptions, Inc. 37,400 64 * Pierre Foods, Inc. 27,600 63 * GlycoGenesys, Inc. 32,100 63 * Lynch Corp. 3,500 63 Agree Realty Corp. REIT 3,400 63 * Trimedyne, Inc. 142,600 63 Ecology and Environment, Inc. 6,925 63 Pacific Northwest Bancorp 3,059 63 * Caldera International, Inc. 71,500 61 * Z-Tel Technologies, Inc. 47,265 61 * Informax, Inc. 20,523 61 * Allied Holdings, Inc. 29,900 60 * j2 Global Communications, Inc. 12,075 60 * MeriStar Hotels & Resorts, Inc. REIT 86,200 59 * The Advisory Board Co. 2,133 59 * Perficient, Inc. 50,931 59 * Chiquita Brands International, Inc. 91,165 58 D&K Healthcare Resources, Inc. 1,021 58 * SciQuest, Inc. 33,800 57 * Merit Medical Systems, Inc. 3,042 57 * A.C. Moore Arts & Crafts, Inc. 1,925 57 Sphinx International Inc. 55,900 56 * SIGA Technologies, Inc. 19,400 56 * FairMarket, Inc. 50,100 56 * Loudeye Technologies, Inc. 76,385 56 * TippingPoint Technologies Inc. 7,474 55 * Cross Media Marketing Corp 6,066 55 * Darling International, Inc. 77,900 55 * AXS-One Inc. 125,300 54 * Spectrum Control, Inc. 10,200 54 Citizens 1st Bancorp, Inc. 3,400 53 * Kaiser Ventures LLC Class A 36,800 53 * Checkers Drive-In Restaurants, Inc. 8,700 53 41 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Esenjay Exploration, Inc. 17,900 53 * Cognitronics Corp. 10,900 52 Presidential Realty Corp. REIT 7,800 52 * Oakwood Homes Corp. 9,700 51 * Leapnet, Inc. 28,037 51 * Gart Sports Co. 2,434 51 * Triton Network Systems, Inc. 74,504 51 * Wild Oats Markets Inc. 5,075 50 * GMX Resources Inc. 11,000 50 * Bioanalytical Systems, Inc. 7,000 49 * US SEARCH.com Inc. 53,300 49 * NextCard, Inc. 93,800 49 * Paul-Son Gaming Corp. 35,500 48 * eLoyalty Corp. 9,090 48 * Sonic Solutions, Inc. 9,700 48 Polymer Group, Inc. 63,900 48 * Neff Corp. 106,100 48 * AML Communications, Inc. 68,000 48 * Pac-West Telecom, Inc. 86,070 47 * Adelphia Business Solutions, Inc. 81,400 47 * Organic, Inc. 146,474 47 * Astronics Corp. Class B 4,206 47 * MAI Systems Corp. 150,575 47 * ClickAction, Inc. 60,200 46 * JDA Software Group, Inc. 2,072 46 * P-Com, Inc. 139,600 46 * Mpower Holding Corp. 102,000 46 McRae Industries, Inc. 8,300 45 * XO Communications Inc. Class A 465,613 45 * Central European Distribution Corp. 3,600 45 * Keystone Consolidated Industries, Inc. 68,219 44 * Accrue Software, Inc. 73,800 44 * Peet's Coffee & Tea Inc. 3,900 44 * Schick Technologies, Inc. 40,000 43 Eastern Virginia Bankshares, Inc. 3,000 43 * InsWeb Corp. 9,867 42 * Private Business Inc. 26,134 42 * StarMedia Network, Inc. 109,800 42 * High Speed Access Corp. 74,500 42 * Metretek Technologies, Inc. 68,100 42 * Netsmart Technologies, Inc. 14,133 41 * Fischer Imaging Corp. 3,435 41 * IGI, Inc. 68,500 41 * Concero, Inc. 107,400 41 * Net4Music Inc. 75,400 41 * MediaBay, Inc. 65,500 41 * TenFold Corp. 60,900 40 Thistle Group Holdings, Co. 4,100 40 D&E Communications, Inc. 2,200 40 Stifel Financial Corp. 3,700 39 * SteelCloud Inc. 33,200 38 * Sun Community Bancorp, Ltd. 3,800 38 * ATEC Group, Inc. 60,000 38 Prosperity Bancshares, Inc. 1,400 38 * Factual Data Corp. 4,400 37 * Merry Land Properties, Inc. REIT 4,750 37 * NCO Portfolio Management, Inc. 5,177 37 * Landair Corp. 2,500 37 * Tor Minerals International, Inc. 40,700 37 * Quaker Fabric Corp. 4,400 37 * Guilford Mills, Inc. 61,925 37 * Oriole Homes Corp. Class B 19,300 36 * Emex Corp. 11,478 36 * Nanometrics Inc. 1,834 36 * On2 Technologies, Inc. 104,600 36 Kansas City Life Insurance Co. 936 35 * Elastic Networks Inc. 44,200 34 Equity Inns, Inc. REIT 5,188 34 * Accelerated Networks, Inc. 85,542 34 * National Research Corp. 5,400 34 * Razorfish Inc. 153,150 34 * Genaera Corp. 8,600 34 * Motient Corp. 79,700 33 * NaviSite, Inc. 92,700 33 * Petrocorp, Inc. 3,704 33 * Technisource, Inc. 18,700 33 * Budget Group, Inc. 37,100 33 * Primus Knowledge Solutions, Inc. 39,300 33 * Arguss Communications, Inc. 8,100 33 * USinternetworking, Inc. 163,625 33 * A.B. Watley Group Inc. 13,600 32 * Watson Wyatt & Company Holdings 1,464 32 * Evercel, Inc. 45,164 31 * Cellular Technical Services 13,565 31 * Avenue A, Inc. 18,300 31 * Birmingham Steel Corp. 95,050 30 * PeoplePC Inc. 127,030 29 * Enchira Biotechnology Corp. 53,614 28 * Vornado Operating Inc. REIT 55,529 28 * Ventro Corp. 71,100 28 * Pinnacle Holdings Inc. REIT 80,200 27 * PerfectData Corp. 9,800 27 * Merisel, Inc. 16,131 27 * Santa Barbara Restaurant Group 6,300 26 Impac Mortgage Holdings, Inc. REIT 3,108 26 Birmingham Utilities, Inc. 1,400 26 * Interliant Inc. 75,300 26 Troy Financial Corp. 1,052 26 * Antigenics Inc.-CVR 172,400 26 * Women First Healthcare, Inc. 2,583 26 * RMH Teleservices, Inc. 1,343 26 * Celadon Group Inc. 5,100 26 42 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Shoe Pavilion, Inc. 21,100 25 * 800 Travel Systems, Inc. 85,600 25 * Cortex Pharmaceuticals, Inc. 9,800 25 * USDATA Corp. 17,350 24 * Telaxis Communications Corp. 32,950 24 * Airnet Communications Corp. 56,290 24 * Diedrich Coffee, Inc. 6,000 23 Falmouth Bancorp, Inc. 1,100 23 * MessageMedia Inc. 165,300 23 Sizzlers Property Investors, Inc. REIT 2,500 23 Home Federal Bancorp 1,200 22 * Evolve Software, Inc. 59,823 22 * Navarre Corp. 20,300 22 * Daleen Technologies, Inc. 62,800 22 * Rainmaker Systems, Inc. 87,500 22 * Landec Corp. 5,800 22 * Tickets.com, Inc. 9,638 22 * Emcee Broadcast Products, Inc. 47,000 21 K-Swiss, Inc. 628 21 * Miller Exploration Co. 26,600 21 * Peoples Community Bancorp 1,000 21 * Torch Offshore, Inc. 3,400 20 Weider Nutritional International, Inc. 12,100 20 * DiaSys Corp. 15,600 20 * Friede Goldman Halter, Inc. 106,243 20 First Federal Bancorp, Inc. 3,300 20 * Alphanet Solutions, Inc. 9,600 20 * Lowrance Electronics, Inc. 7,700 19 * Profile Technologies, Inc. 29,500 19 * Alliance Data Systems Corp. 1,000 19 * Internet Pictures Corp. 9,043 19 * Almost Family Inc. 1,200 19 * Global ePoint, Inc. 11,600 19 * Check Technology Corp. 3,000 18 Bandag, Inc. Class A 600 18 * Eagle Food Centers, Inc. 22,950 18 * Adams Golf, Inc. 47,100 18 * CBNY Investment Services Corp. 1,780 18 * Bel Fuse, Inc. Class A 731 18 * AvantGo, Inc. 9,700 17 EnergySouth, Inc. 700 17 * Advantage Marketing Systems, Inc. 6,600 17 * VASCO Data Security International, Inc. 8,000 17 * Paradigm Medical Industries, Inc. 6,700 16 * Landenburg Thalmann Financial Services, Inc. 18,944 16 * Newcor, Inc. 43,880 16 eBT International, Inc. 76,900 16 Coastal Financial Corp. 1,679 16 * MedicaLogic/Medscape, Inc. 57,210 16 * Monarch Dental Corp. 7,016 16 * Hudson Technology, Inc. 5,600 16 * E Com Ventures, Inc. 23,200 16 * Saucony Inc. 3,000 16 * Catalina Lighting, Inc. 45,800 16 * Summit Financial Corp. 1,470 15 * Tristar Corp. 103,000 15 * Verso Technologies, Inc. 11,700 15 * Radiologix Inc. 1,470 15 * Allied Riser Communications Corp. 86,400 15 * MB Financial, Inc. 534 15 * AppliedTheory Corp. 90,700 15 * Be Inc. 102,400 14 * EPIX Medical, Inc. 1,000 14 * Technical Communications Corp. 14,000 14 Citizens First Financial Corp. 800 14 Hubbell Inc. Class A 500 14 * Advanced Switching Communications, Inc. 12,300 14 * Contour Energy Co. 14,800 14 * Interstate Hotels Corp. REIT 9,509 14 * LMI Aerospace, Inc. 3,100 13 * Gaiam, Inc. 600 13 Financial Institutions, Inc. 550 13 * Florsheim Group Inc. 55,315 13 * HORIZON Pharmacies, Inc. 58,800 12 * Classic Vacation Group, Inc. 94,700 12 * Horizon Medical Products, Inc. 28,200 12 Malan Realty Investors, Inc. REIT 1,700 11 * GoAmerica, Inc. 5,000 11 * Nematron Corp. 63,000 11 * Advanced Nutraceuticals, Inc. 11,225 11 * Ashford.com, Inc. 41,100 11 * SPEEDCOM Wireless Corp. 12,000 11 * Allied Devices Corp. 11,200 11 * Cypress Communications, Inc. 6,770 11 Semco Energy Inc. 1,000 11 * Applied Graphics Technologies, Inc. 20,280 11 * Encore Medical Corp. 3,000 10 Providence and Worcester Railroad Co. 1,500 10 * 3DO Co. 4,800 10 * Hayes Lemmerz International, Inc. 38,400 10 * CRYO-CELL International, Inc. 2,000 10 * ACT Manufacturing, Inc. 27,900 10 * STM Wireless, Inc. 6,800 10 Calton, Inc. 15,400 9 * Sento Corp. 6,700 9 * Styleclick, Inc. 41,700 9 * Intelli-Check Inc. 500 9 43 - -------------------------------------------------------------------------------- MARKET EXTENDED MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Capital Properties, Inc. Class A 900 9 * EasyLink Services Corp. 18,385 9 The Reader's Digest Association., Inc. Class B 400 9 * VCampus Corp. 20,300 9 * Analytical Surveys, Inc. 24,700 9 * InterDent Inc. 10,212 9 * Exchange Applications, Inc. 35,500 9 * ARTISTdirect, Inc. 603 9 * FiberNet Telecom Group, Inc. 23,400 9 * Globix Corp. 58,700 9 * Bay View Capital Corp. 1,172 9 * Frontline Capital Group 76,800 8 L. S. Starrett Co. Class B 400 8 * Ampex Corp. Class A 57,800 8 Ramco-Gershenson Properties Trust REIT 500 8 * Onvia.com, Inc. 14,800 8 * Horizon Group Properties, Inc. REIT 3,415 8 * 24/7 Real Media, Inc. 34,100 8 * HPSC, Inc. 1,200 8 * Barrister Information Systems Corp. 18,000 8 * Seabulk International, Inc. 2,106 7 * Retractable Technologies, Inc. 1,400 7 * Highlands Insurance Group 65,100 7 * OMNI Energy Services Corp. 7,400 7 * Hungarian Telephon and Cable Corp. 1,500 7 * The IT Group, Inc. 131,408 7 * Information Architects Corp. 28,500 7 * Alterra Healthcare Corp. 59,200 7 * Webhire, Inc. 4,980 6 * GlobalNet, Inc. 14,200 6 * Burlington Industries, Inc. 166,900 6 Salient 3 Communications Class A 6,000 6 * Kellstrom Industries, Inc. 96,300 6 * Video Network Communications, Inc. 11,700 6 * Somanetics Corp. 1,300 6 * First Southern Bancshares 1,600 5 * Vizacom Inc. 6,710 5 * Luminant Worldwide Corp. 44,500 5 * Aames Financial Corp. 15,420 5 Urstadt Biddle Properties Class A REIT 500 5 * HMG Worldwide Corp. 55,000 5 * Claimsnet.com Inc. 9,600 5 * CardioTech International, Inc. 2,700 5 * Beyond.com Corp. 3,806 5 * Olympic Cascade Financial Corp. 2,900 5 * Benton Oil & Gas Co. 3,200 5 * Radview Software Ltd. 9,000 5 * Rawlings Sporting Goods Co., Inc. 1,500 5 * Isomet Corp. 1,300 4 Tanger Factory Outlet Centers, Inc. REIT 200 4 * CPI Aerostructures, Inc. 2,400 4 * ActionPoint, Inc. 2,300 4 * CoActive Marketing Group, Inc. 2,000 4 * Mesa Laboratories, Inc. 600 4 * Netzee, Inc. 2,100 4 * Katy Industries, Inc. 1,000 3 * General Bearing Corp. 1,200 3 * ProcureNet, Inc. 21,000 3 * Optika Inc. 2,900 3 * American Pacific Bank 880 3 * Crescent Operating, Inc. REIT 87,940 3 * Hauppage Digital, Inc. 1,200 3 * ICH Corp. 3,520 2 * Corrpro Cos., Inc. 900 2 * iPrint Technologies Inc. 11,100 2 * Williams Controls, Inc. 3,700 2 * Physiometrix, Inc. 1,100 2 * ANC Rental Corp. 79,792 2 * Investors Capital Holdings, Ltd. 900 2 * Emeritus Corp. 1,000 2 * The Plastic Surgery Co. 3,700 2 * OmniSky Corp. 119,800 2 * eRoomSystem Technologies, Inc. 8,100 2 * I-Link Inc. Pfd. 75 2 * Vista Medical Technologies, Inc. 800 2 * Chromatics Color Sciences International, Inc. 116,600 2 * Firstwave Technologies, Inc. 1,666 2 * VoiceFlash Networks, Inc. 4,900 2 * Bluefly, Inc. 900 2 * Verado Holdings, Inc. Class B 36,800 1 * TechSys, Inc. 3,500 1 * Cybear Group 4,210 1 * I-Link, Inc. 18,400 1 * Continucare Corp. 3,000 1 * Travis Boats & Motors, Inc. 700 1 Republic Bancorp, Inc. 100 1 Musicmaker.com, Inc. 700 1 Merrill Merchants Bancshares, Inc. 100 1 * Charles & Colvard Ltd. 700 1 * NetObjects Inc. 49,200 1 * Morton Industrial Group, Inc. 900 1 * Hotelworks.com Inc. 84,800 1 * Network Commerce Inc. 5,013 1 * Diamond Hill Investment Group 200 1 * Entrada Networks, Inc. 6,475 1 44 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * iBEAM Broadcasting Corp. 17,554 1 * Penncorp Financial Group Inc. 91,400 -- - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $5,369,990) 4,595,342 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (3.2%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (2) 2.29%, 1/9/2002 $ 4,000 3,999 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F 142,501 142,501 1.75%, 1/2/2002 1,021 1,021 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $147,521) 147,521 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (103.0%) (Cost $5,517,511) 4,742,863 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (--3.0%) - -------------------------------------------------------------------------------- Other Assets--Note B 66,961 Security Lending Collateral Payable to Brokers--Note F (142,501) Other Liabilities (65,011) --------- (140,551) --------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $4,602,312 ================================================================================ * See Note A in Notes to Financial Statements. * Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.1% and 2.9%, respectively, of net assets. See Note E in Notes to Financial Statements. (2) Security segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note D $ 5,479,141 Overdistributed Net Investment Income (4,792) Accumulated Net Realized Losses--Note D (97,706) Unrealized Appreciation (Depreciation)--Note E Investment Securities (774,648) Futures Contracts 317 - -------------------------------------------------------------------------------- NET ASSETS $4,602,312 ================================================================================ Investor Shares--Net Assets Applicable to 134,894,270 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $3,114,855 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $23.09 ================================================================================ Admiral Shares--Net Assets Applicable to 31,850,513 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $735,495 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $23.09 ================================================================================ Institutional Shares--Net Assets Applicable to 32,298,023 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $745,863 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $23.09 ================================================================================ VIPER Shares--Net Assets Applicable to 100,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $6,099 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- VIPER SHARES $60.99 ================================================================================ 45 - -------------------------------------------------------------------------------- MARKET MID-CAP VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.1%)(1) - -------------------------------------------------------------------------------- * IDEC Pharmaceuticals Corp. 522,464 36,013 * Electronic Arts Inc. 469,598 28,152 * SunGard Data Systems, Inc. 957,325 27,695 M & T Bank Corp. 323,652 23,578 * Quest Diagnostics, Inc. 327,395 23,477 Marshall & Ilsley Corp. 361,540 22,878 * Affiliated Computer Services, Inc. Class A 206,278 21,892 * Gilead Sciences, Inc. 328,716 21,603 * DST Systems, Inc. 412,390 20,558 * SPX Corp. 137,990 18,891 * Millennium Pharmaceuticals, Inc. 758,354 18,587 R.J. Reynolds Tobacco Holdings, Inc. 328,544 18,497 * Cadence Design Systems, Inc. 837,661 18,362 * BJ Services Co. 561,590 18,224 Telephone & Data Systems, Inc. 200,601 18,004 North Fork Bancorp, Inc. 556,086 17,789 * Microchip Technology, Inc. 456,731 17,694 * Apollo Group, Inc. Class A 391,877 17,638 National Commerce Financial Corp. 697,166 17,638 Washington Post Co. Class B 32,550 17,252 * American Standard Cos., Inc. 245,904 16,778 SEI Corp. 370,141 16,697 * CDW Computer Centers, Inc. 302,399 16,242 Mylan Laboratories, Inc. 430,210 16,133 * Symantec Corp. 238,676 15,831 First Tennessee National Corp. 433,770 15,729 * Sepracor Inc. 266,894 15,229 * Weatherford International, Inc. 393,197 14,651 Dime Bancorp, Inc. 405,555 14,632 American Water Works Co., Inc. 342,608 14,304 Tyson Foods, Inc. 1,196,399 13,818 Radian Group, Inc. 321,307 13,800 * IVAX Corp. 676,222 13,619 * E*TRADE Group, Inc. 1,276,614 13,085 Murphy Oil Corp. 155,251 13,047 * Rational Software Corp. 665,169 12,971 * BISYS Group, Inc. 201,712 12,908 Hormel Foods Corp. 476,019 12,791 * Express Scripts Inc. 271,307 12,686 TCF Financial Corp. 263,411 12,638 Ultramar Diamond Shamrock Corp. 250,098 12,375 Compass Bancshares Inc. 436,791 12,361 Green Point Financial Corp. 343,144 12,267 * Network Associates, Inc. 474,382 12,263 Golden State Bancorp Inc. 465,147 12,164 * L-3 Communications Holdings, Inc. 134,351 12,092 * Synopsys, Inc. 203,136 11,999 A.G. Edwards & Sons, Inc. 269,517 11,905 * Dollar Tree Stores, Inc. 384,629 11,889 Hillenbrand Industries, Inc. 214,110 11,834 * Atmel Corp. 1,595,090 11,756 Banknorth Group, Inc. 520,771 11,728 * Barr Laboratories, Inc. 145,450 11,543 ENSCO International, Inc. 461,238 11,462 Old Republic International Corp. 407,501 11,414 Legg Mason Inc. 228,335 11,412 Ocean Energy, Inc. 588,681 11,303 Everest Re Group, Ltd. 158,513 11,207 * Westwood One, Inc. 367,542 11,045 * BJ's Wholesale Club, Inc. 249,376 10,998 * RF Micro Devices, Inc. 570,945 10,979 * ChoicePoint Inc. 215,428 10,920 * Vishay Intertechnology, Inc. 545,719 10,642 Neuberger Berman Inc. 241,146 10,586 * Lincare Holdings, Inc. 369,012 10,572 * Polycom, Inc. 308,351 10,506 DPL Inc. 433,467 10,438 * Cytyc Corp. 397,574 10,377 Sovereign Bancorp, Inc. 846,570 10,362 Mercantile Bankshares Corp. 239,153 10,293 Avnet, Inc. 404,016 10,290 Lennar Corp. 219,005 10,254 The PMI Group Inc. 152,638 10,228 * Arrow Electronics, Inc. 341,547 10,212 * Dean Foods Co. 148,619 10,136 Expeditors International of Washington, Inc. 176,800 10,069 * Brinker International, Inc. 336,509 10,015 Arthur J. Gallagher & Co. 290,263 10,011 SCANA Corp. 358,846 9,987 * LAM Research Corp. 429,848 9,981 UtiliCorp United, Inc. 396,486 9,980 McCormick & Co., Inc. 236,962 9,945 Diebold, Inc. 244,634 9,893 * Mohawk Industries, Inc. 180,258 9,893 * Protein Design Labs, Inc. 301,257 9,881 * Republic Services, Inc. Class A 489,817 9,782 Hibernia Corp. Class A 544,975 9,695 * The Dun & Bradstreet Corp. 269,184 9,502 * Integrated Device Technology Inc. 357,049 9,494 * Oxford Health Plan 314,904 9,491 * Patterson Dental Co. 231,867 9,490 * Hispanic Broadcasting Corp. 371,628 9,477 * Park Place Entertainment 1,032,214 9,465 * McDATA Corp. Class A 385,168 9,437 * Ceridian Corp. 501,254 9,399 ICN Pharmaceuticals, Inc. 279,386 9,359 46 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Apogent Technologies Inc. 362,167 9,344 Beckman Coulter, Inc. 208,788 9,249 * Health Net Inc. 423,397 9,222 * AmeriCredit Corp. 289,052 9,120 Unitrin, Inc. 230,622 9,114 Alliant Energy Corp. 300,042 9,109 * Smith International, Inc. 169,297 9,078 * Abercrombie & Fitch Co. 340,876 9,043 Wisconsin Energy Corp. 399,163 9,005 * Outback Steakhouse 262,176 8,980 Bowater Inc. 187,200 8,929 DENTSPLY International Inc. 177,840 8,928 Waddell & Reed Financial, Inc. 274,257 8,831 * Universal Health Services Class B 206,351 8,828 Ross Stores, Inc. 274,140 8,794 Manpower Inc. 260,574 8,784 Sonoco Products Co. 327,473 8,704 Fastenal Co. 130,032 8,638 * Semtech Corp. 240,941 8,599 * Trigon Healthcare, Inc. 122,658 8,519 Northeast Utilities 480,158 8,465 * First Health Group Corp. 341,347 8,445 Eaton Vance Corp. 237,213 8,433 * Smithfield Foods, Inc. 382,344 8,427 * Lear Corp. 220,007 8,391 * Williams-Sonoma, Inc. 195,281 8,378 C.H. Robinson Worldwide, Inc. 289,531 8,372 Astoria Financial Corp. 316,099 8,364 * Micrel, Inc. 318,306 8,349 First Virginia Banks, Inc. 163,878 8,318 Potomac Electric Power Co. 368,116 8,308 * Cypress Semiconductor Corp. 412,130 8,214 * Tech Data Corp. 188,818 8,172 NSTAR 181,744 8,151 Allmerica Financial Corp. 181,240 8,074 * Certegy, Inc. 235,599 8,062 Clayton Homes Inc. 470,393 8,044 New York Community Bancorp, Inc. 350,524 8,016 Omnicare, Inc. 320,077 7,964 Associated Banc-Corp 225,082 7,943 Valero Energy Corp. 207,766 7,920 The Reader's Digest Association., Inc. Class A 342,728 7,910 FirstMerit Corp. 290,663 7,874 * Fairchild Semiconductor Corp. 278,900 7,865 * Entercom Communications Corp. 155,318 7,766 Martin Marietta Materials, Inc. 166,320 7,751 City National Corp. 164,940 7,727 * Lattice Semiconductor Corp. 374,780 7,709 Cabot Corp. 214,803 7,669 * 3Com Corp. 1,191,685 7,603 Energy East Corp. 400,320 7,602 * International Rectifier Corp. 216,840 7,563 Equitable Resources, Inc. 219,160 7,467 * Cooper Cameron Corp. 184,869 7,461 Conectiv, Inc. 303,965 7,444 * Storage Technology Corp. 359,176 7,424 PepsiAmericas, Inc. 534,188 7,372 * CSG Systems International, Inc. 181,752 7,352 Fidelity National Financial, Inc. 293,591 7,281 * Triad Hospitals, Inc. 246,844 7,245 Investors Financial Services Corp. 109,328 7,239 Viad Corp. 303,501 7,187 Allete, Inc. 285,098 7,185 * Cree, Inc. 243,200 7,165 International Speedway Corp. 182,181 7,123 * BroadWing Inc. 749,505 7,120 Wilmington Trust Corp. 111,932 7,086 Belo Corp. Class A 377,209 7,073 Tidewater Inc. 207,464 7,033 Questar Corp. 279,107 6,992 * LaBranche & Co. Inc. 201,207 6,934 Harris Corp. 226,392 6,907 * Gentex Corp. 257,182 6,875 * Pride International, Inc. 455,061 6,871 Noble Affiliates, Inc. 193,937 6,844 Pacific Century Financial Corp. 263,145 6,813 * Devry, Inc. 239,218 6,806 * Barnes & Noble, Inc. 229,764 6,801 Protective Life Corp. 234,965 6,798 Tootsie Roll Industries, Inc. 173,133 6,766 Valspar Corp. 169,775 6,723 National Fuel Gas Co. 271,871 6,715 MDU Resources Group, Inc. 237,011 6,672 Jack Henry & Associates 304,383 6,648 * Packaging Corp. of America 361,770 6,566 * National Instruments Corp. 175,186 6,563 * Catalina Marketing Corp. 188,903 6,555 * Valassis Communications, Inc. 183,507 6,537 * Cabot Microelectronics Corp. 82,386 6,529 * Investment Technology Group, Inc. 166,453 6,503 Puget Energy, Inc. 297,085 6,503 * Pioneer Natural Resources Co. 336,435 6,480 * American Eagle Outfitters, Inc. 246,293 6,446 Hospitality Properties Trust REIT 214,218 6,319 * Vertex Pharmaceuticals, Inc. 256,879 6,317 Teleflex Inc. 133,166 6,300 * Swift Transportation Co., Inc. 291,971 6,280 * FMC Corp. 104,500 6,218 OGE Energy Corp. 267,013 6,163 Lubrizol Corp. 175,193 6,148 Pentair, Inc. 168,109 6,138 Herman Miller, Inc. 259,181 6,132 47 - -------------------------------------------------------------------------------- MARKET MID-CAP VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Macrovision Corp. 173,674 6,117 * Patterson-UTI Energy, Inc. 261,720 6,101 * Scholastic Corp. 120,918 6,086 Harte-Hanks, Inc. 215,969 6,084 * Jacobs Engineering Group Inc. 91,705 6,053 * Energizer Holdings, Inc. 314,291 5,987 Reynolds & Reynolds Class A 245,596 5,956 * The Titan Corp. 238,223 5,944 Hubbell Inc. Class B 200,890 5,902 * Enterasys Networks, Inc. 664,336 5,879 Donaldson Co., Inc. 151,154 5,871 * Coach, Inc. 148,863 5,803 * Advent Software, Inc. 115,883 5,788 Helmerich & Payne, Inc. 173,335 5,786 Lyondell Chemical Co. 402,869 5,773 American Financial Group, Inc. 234,104 5,747 HCC Insurance Holdings, Inc. 207,964 5,729 * National-Oilwell, Inc. 277,252 5,714 * United Rentals, Inc. 251,232 5,703 New Plan Excel Realty Trust REIT 299,339 5,702 The MONY Group Inc. 163,184 5,641 Metris Cos., Inc. 218,554 5,619 CNF Inc. 167,407 5,617 * Edwards Lifesciences Corp. 202,919 5,607 Dial Corp. 325,136 5,576 Colonial BancGroup, Inc. 394,850 5,563 Vectren Corp. 231,966 5,563 HON Industries, Inc. 200,992 5,557 CBRL Group, Inc. 188,711 5,556 * Furniture Brands International Inc. 173,396 5,552 * Borders Group, Inc. 278,703 5,530 Lee Enterprises, Inc. 150,978 5,491 Leucadia National Corp. 189,608 5,474 * TriQuint Semiconductor, Inc. 446,387 5,473 * Hanover Compressor Co. 216,419 5,467 GATX Corp. 166,864 5,426 * Henry Schein, Inc. 146,255 5,416 Great Plains Energy, Inc. 212,061 5,344 * Sybase, Inc. 338,424 5,334 Webster Financial Corp. 168,816 5,323 Roslyn Bancorp, Inc. 301,356 5,274 Sierra Pacific Resources 349,883 5,266 * Internet Security Systems, Inc. 163,789 5,251 * Quantum Corp.-DLT & Storage Systems 532,719 5,247 * Extended Stay America, Inc. 318,805 5,228 * Retek Inc. 174,581 5,215 IDACORP, Inc. 128,403 5,213 * KEMET Corp. 293,591 5,211 * Mentor Graphics Corp. 220,990 5,209 * Acxiom Corp. 297,946 5,205 * Mandalay Resort Group 242,653 5,193 Dole Food Co. 191,423 5,136 IMC Global Inc. 393,760 5,119 * Lands' End, Inc. 101,962 5,114 Callaway Golf Co. 266,867 5,111 York International Corp. 133,264 5,081 RPM Inc. (Ohio) 350,395 5,067 Solutia, Inc. 357,217 5,008 Precision Castparts Corp. 176,614 4,989 * Advanced Fibre Communications, Inc. 280,883 4,963 * Timberland Co. 133,029 4,933 * Varco International, Inc. 328,956 4,928 * IndyMac Bancorp, Inc. 208,569 4,876 Greater Bay Bancorp 170,506 4,873 * Six Flags, Inc. 316,739 4,871 StanCorp Financial Group, Inc. 102,570 4,846 WGL Holdings Inc. 166,409 4,838 * Wind River Systems Inc. 266,258 4,769 * CheckFree Corp. 264,663 4,764 BorgWarner, Inc. 90,305 4,718 Rayonier Inc. 93,469 4,717 Harsco Corp. 136,977 4,698 Westamerica Bancorporation 118,466 4,688 Hawaiian Electric Industries Inc. 116,171 4,679 * Apria Healthcare Group Inc. 186,836 4,669 * Keane, Inc. 258,711 4,665 * Covance, Inc. 203,686 4,624 Independence Community Bank Corp. 201,610 4,589 * LifePoint Hospitals, Inc. 134,642 4,583 * Cor Therapeutics, Inc. 190,718 4,564 Dreyer's Grand Ice Cream, Inc. 118,111 4,548 * Saks Inc. 486,752 4,546 * Forest Oil Corp. 160,159 4,518 Lancaster Colony Corp. 126,961 4,508 ArvinMeritor, Inc. 227,969 4,477 * GTech Holdings Corp. 98,534 4,463 * Incyte Genomics, Inc. 227,557 4,451 Provident Financial Group, Inc. 168,626 4,431 * STERIS Corp. 237,721 4,343 AGL Resources Inc. 187,826 4,324 * Grant Prideco, Inc. 374,935 4,312 * Payless ShoeSource, Inc. 76,328 4,286 Kennametal, Inc. 105,906 4,265 * Silicon Valley Bancshares 158,344 4,233 * The Neiman Marcus Group, Inc. Class A 136,187 4,231 * Education Management Corp. 116,488 4,223 AK Steel Corp. 369,216 4,202 Interstate Bakeries Corp. 173,304 4,190 Western Resources, Inc. 240,238 4,132 * Plantronics, Inc. 160,764 4,122 Pittston Brink's Group 186,020 4,111 Trinity Industries, Inc. 150,764 4,096 48 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Arch Coal, Inc. 179,422 4,073 * Flowserve Corp. 152,101 4,047 * Legato Systems, Inc. 306,632 3,977 Pennzoil-Quaker State Co. 272,609 3,939 Media General, Inc. Class A 78,722 3,923 AGCO Corp. 246,754 3,894 * Emmis Communications, Inc. 162,579 3,843 Carlisle Co., Inc. 103,776 3,838 * Credence Systems Corp. 206,048 3,826 * Powerwave Technologies, Inc. 221,112 3,821 * Plexus Corp. 142,811 3,793 * CommScope, Inc. 176,390 3,752 Blyth, Inc. 161,335 3,751 PNM Resources Inc. 134,135 3,749 Albemarle Corp. 155,910 3,742 * Avocent Corp. 152,922 3,708 Alexander & Baldwin, Inc. 138,764 3,705 ONEOK, Inc. 204,736 3,652 * Cytec Industries, Inc. 134,529 3,632 DQE Inc. 191,634 3,628 Western Gas Resources, Inc. 111,950 3,618 * Ascential Software Corp. 889,188 3,601 * Cirrus Logic 272,344 3,600 * Price Communications Corp. 188,196 3,593 * Airgas, Inc. 237,406 3,590 Ametek Aerospace Products Inc. 112,429 3,585 Superior Industries International, Inc. 88,776 3,573 Church & Dwight, Inc. 134,075 3,570 * Macromedia, Inc. 199,205 3,546 * Sotheby's Holdings Class A 210,215 3,492 Crompton Corp. 387,463 3,487 * LTX Corp. 166,420 3,485 * FEI Co. 109,630 3,454 * ADTRAN Inc. 135,306 3,453 Federal Signal Corp. 154,355 3,437 Granite Construction Co. 140,979 3,395 Cleco Corp. 154,236 3,389 Sensient Technologies Corp. 162,212 3,376 * SanDisk Corp. 234,066 3,371 * RSA Security Inc. 192,634 3,363 Universal Corp. VA 91,714 3,339 * Ohio Casualty Corp. 205,934 3,305 * Quanta Services, Inc. 208,350 3,215 Tecumseh Products Co. Class A 63,371 3,208 Minerals Technologies, Inc. 67,154 3,132 Black Hills Corp. 90,940 3,077 Longs Drug Stores, Inc. 130,002 3,039 Ferro Corp. 117,488 3,031 Nordson Corp. 113,259 2,991 * Perrigo Co. 252,298 2,982 * Gartner, Inc. Class B 265,452 2,973 Horace Mann Educators Corp. 139,640 2,963 J. M. Smucker Co. 83,729 2,962 * InFocus Corp. 133,734 2,945 * Sylvan Learning Systems, Inc. 132,824 2,931 Bob Evans Farms, Inc. 118,898 2,921 * J.B. Hunt Transport Services, Inc. 123,370 2,862 Potlatch Corp. 95,322 2,795 H.B. Fuller Co. 97,036 2,792 Kelly Services, Inc. Class A 123,019 2,693 Modine Manufacturing Co. 113,826 2,656 * Alaska Air Group, Inc. 91,007 2,648 Overseas Shipholding Group Inc. 117,454 2,643 Wallace Computer Services, Inc. 138,023 2,621 * Imation Corp. 117,854 2,543 Ruddick Corp. 158,832 2,540 Claire's Stores, Inc. 167,321 2,527 Banta Corp. 84,701 2,500 * VISX Inc. 187,109 2,479 Bandag, Inc. 70,792 2,461 Airborne, Inc. 165,007 2,447 * Dycom Industries, Inc. 144,348 2,412 Olin Corp. 149,003 2,405 * Modis Professional Services Inc. 336,698 2,404 Newport Corp. 123,266 2,377 Kaydon Corp. 100,665 2,283 Albany International Corp. 104,996 2,278 * EGL, Inc. 160,689 2,242 Glatfelter 143,660 2,238 * Papa John's International, Inc. 76,343 2,098 * DSP Group Inc. 90,179 2,098 Wausau-Mosinee Paper Corp. 172,912 2,092 Longview Fibre Co. 171,808 2,029 Rollins, Inc. 101,065 2,021 * UCAR International, Inc. 187,961 2,011 * Montana Power Co. 348,351 2,003 * NCO Group, Inc. 86,650 1,984 Carpenter Technology Corp. 74,488 1,983 * Atlas Air Worldwide Holdings, Inc. 128,522 1,883 * Pacificare Health Systems, Inc. 116,340 1,861 Stewart & Stevenson Services, Inc. 95,630 1,799 * Sequa Corp. Class A 34,845 1,656 * Transaction Systems Architects, Inc. 123,186 1,510 * TranSwitch Corp. 308,311 1,387 * Korn/Ferry International 127,499 1,358 A. Schulman Inc. 98,240 1,341 * Unifi, Inc. 181,009 1,312 * Sykes Enterprises, Inc. 135,585 1,266 * MIPS Technologies, Inc. Class B 131,035 1,046 * The Neiman Marcus Group, Inc. Class B 27,300 811 49 - -------------------------------------------------------------------------------- MARKET MID-CAP VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Covanta Energy Corp. 168,381 761 * FMC Technologies Inc. 39,600 651 * Gartner, Inc. Class A 29,200 341 Commercial Net Lease Realty REIT 1,100 14 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $2,880,395) 2,896,160 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.7%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (2) 2.05%, 1/25/2002 $ 500 499 (2) 2.29%, 1/9/2002 1,000 1,000 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F 19,641 19,641 1.75%, 1/2/2002 28,028 28,028 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS Cost $49,168) 49,168 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.8%) (Cost $2,929,563) 2,945,328 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.8%) - -------------------------------------------------------------------------------- Other Assets--Note B 94,469 Payables for Investment Securities Purchased (93,357) Other Liabilities--Note F (24,863) -------- (23,751) -------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $2,921,577 ================================================================================ * See Note A in Notes to Financial Statements. * Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.8% and 1.0%, respectively, of net assets. See Note E in Notes to Financial Statements. (2) Securities with an aggregate value of $1,499,000 have been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note D $2,886,581 Undistributed Net Investment Income--Note D 491 Accumulated Net Realized Gains--Note D 18,513 Unrealized Appreciation--Note E Investment Securities 15,765 Futures Contracts 227 - -------------------------------------------------------------------------------- NET ASSETS $2,921,577 ================================================================================ Investor Shares--Net Assets Applicable to 173,444,053 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $2,048,779 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $11.81 ================================================================================ Admiral Shares--Net Assets Applicable to 4,168,946 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $223,269 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $53.56 ================================================================================ Institutional Shares--Net Assets Applicable to 54,906,450 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $649,529 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $11.83 ================================================================================ 50 STATEMENT OF OPERATIONS This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. - -------------------------------------------------------------------------------- EXTENDED MARKET MID-CAP INDEX FUND INDEX FUND ------------------------------------ YEAR ENDED DECEMBER 31, 2001 ------------------------------------ (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 45,869 $ 24,363 Interest 1,686 613 Security Lending 5,148 195 - -------------------------------------------------------------------------------- Total Income 52,703 25,171 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 54 55 Management and Administrative Investor Shares 7,328 4,190 Admiral Shares 1,142 40 Institutional Shares 601 311 VIPER Shares -- -- Marketing and Distribution Investor Shares 556 296 Admiral Shares 52 -- Institutional Shares 156 66 VIPER Shares -- -- Custodian Fees 227 170 Auditing Fees 12 11 Shareholders' Reports Investor Shares 102 27 Admiral Shares 1 -- Institutional Shares -- -- VIPER Shares -- -- Trustees' Fees and Expenses 8 3 - -------------------------------------------------------------------------------- Total Expenses 10,239 5,169 Expenses Paid Indirectly--Note C (41) -- - -------------------------------------------------------------------------------- Net Expenses 10,198 5,169 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 42,505 20,002 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (46,056) 31,738 Futures Contracts 2,808 (327) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (43,248) 31,411 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (481,262) (43,460) Futures Contracts (899) 348 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) (482,161) (43,112) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(482,904) $ 8,301 ================================================================================ 51 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. - -------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND MID-CAP INDEX FUND --------------------------- ------------------- YEAR ENDED DECEMBER 31, - -------------------------------------------------------------------------------- 2001 2000 2001 2000 (000) (000) (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 42,505 $ 49,320 $ 20,002 $ 11,778 Realized Net Gain (Loss) (43,248) 790,031 31,411 166,927 Change in Unrealized Appreciation (Depreciation) (482,161) (1,893,375) (43,112) 2,464 - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (482,904) (1,054,024) 8,301 181,169 - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (28,361) (33,972) (11,840) (9,425) Admiral Shares (7,060) (3,832) (1,240) -- Institutional Shares (8,004) (9,990) (4,508) (1,934) VIPER Shares -- -- -- -- Realized Capital Gain* Investor Shares (111,766) (571,530) (37,752)(109,693) Admiral Shares (19,383) (46,429) (612) -- Institutional Shares (25,983) (135,811) (8,278) (21,004) VIPER Shares -- -- -- -- - -------------------------------------------------------------------------------- Total Distributions (200,557) (801,564) (64,230)(142,056) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE G Investor Shares (276,645) 1,111,416 493,376 986,980 Admiral Shares 367,842 499,974 215,497 -- Institutional Shares (87,464) 429,602 347,311 148,113 VIPER Shares 6,094 -- -- -- - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 9,827 2,040,992 1,056,184 1,135,093 - -------------------------------------------------------------------------------- Total Increase (Decrease) (673,634) 185,404 1,000,255 1,174,206 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 5,275,946 5,090,542 1,921,322 747,116 - -------------------------------------------------------------------------------- End of Period $4,602,312 $5,275,946 $2,921,577 $1,921,322 ================================================================================ * Includes short-term gain distributions totaling $15,519,000, $159,705,000, $9,111,000, and $87,972,000, respectively, that are treated as ordinary income dividends for tax purposes. 52 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
- -------------------------------------------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 1998 1997 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $26.61 $37.07 $30.63 $30.76 $26.20 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .203 .274 .297 .388 .351 Net Realized and Unrealized Gain (Loss) on Investments (2.703) (6.041) 10.101 2.025 6.479 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (2.500) (5.767) 10.398 2.413 6.830 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.210) (.263) (.318) (.373) (.360) Distributions from Realized Capital Gains (.810) (4.430) (3.640) (2.170) (1.910) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (1.020) (4.693) (3.958) (2.543) (2.270) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $23.09 $26.61 $37.07 $30.63 $30.76 ==================================================================================================================== TOTAL RETURN* -9.13% -15.55% 36.22% 8.32% 26.73% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $3,115 $3,881 $4,221 $2,939 $2,723 Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.23% 0.23% Ratio of Net Investment Income to Average Net Assets 0.88% 0.81% 1.04% 1.21% 1.30% Portfolio Turnover Rate 20% 33% 26% 27% 15% ====================================================================================================================
* Total returns do not reflect transaction fees on purchases (0.25% beginning October 31, 1997, through March 31, 2000; 0.50% through October 31, 1997) or the $10 annual account maintenance fee applied on balances under $10,000. 53 Financial Highlights (continued)
- -------------------------------------------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND ADMIRAL SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------- YEAR ENDED NOV.13* FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $26.61 $31.89 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .213 .050 Net Realized and Unrealized Gain (Loss) on Investments (2.703) (1.736) - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (2.490) (1.686) - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.220) (.274) Distributions from Realized Capital Gains (.810) (3.320) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (1.030) (3.594) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $23.09 $26.61 ==================================================================================================================== TOTAL RETURN -9.09% -4.30% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $735 $441 Ratio of Total Expenses to Average Net Assets 0.20% 0.20%** Ratio of Net Investment Income to Average Net Assets 0.94% 1.23%** Portfolio Turnover Rate 20% 33% ====================================================================================================================
*Inception. **Annualized.
- -------------------------------------------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, --------------------------------- JULY 7* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 1998 DEC. 31, 1997 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $26.62 $37.09 $30.63 $30.76 $29.28 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .228 .313 .363 .427 .200 Net Realized and Unrealized Gain (Loss) on Investments (2.703) (6.041) 10.101 2.025 3.191 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (2.475) (5.728) 10.464 2.452 3.391 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.245) (.312) (.364) (.412) (.371) Distributions from Realized Capital Gains (.810) (4.430) (3.640) (2.170) (1.540) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (1.055) (4.742) (4.004) (2.582) (1.911) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $23.09 $26.62 $37.09 $30.63 $30.76 ==================================================================================================================== TOTAL RETURN** -9.03% -15.41% 36.45% 8.45% 11.82% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $746 $954 $870 $456 $415 Ratio of Total Expenses to Average Net Assets 0.10% 0.10% 0.10% 0.10% 0.10%+ Ratio of Net Investment Income to Average Net Assets 1.02% 0.96% 1.18% 1.34% 1.43%+ Portfolio Turnover Rate 20% 33% 26% 27% 15% ====================================================================================================================
* Inception. ** Total returns do not reflect transaction fees on purchases (0.25% beginning October 31, 1997, through March 31, 2000; 0.50% from inception through October 31, 1997). + Annualized. 54
- -------------------------------------------------------------------------------------------------------------------- EXTENDED MARKET INDEX FUND VIPER SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------- DEC. 27* FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2000 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $60.94 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income -- Net Realized and Unrealized Gain (Loss) on Investments .05 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations .05 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income -- Distributions from Realized Capital Gains -- - -------------------------------------------------------------------------------------------------------------------- Total Distributions -- - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $60.99 ==================================================================================================================== TOTAL RETURN 0.08% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $6 Ratio of Total Expenses to Average Net Assets 0.20%** Ratio of Net Investment Income to Average Net Assets 0.54%** Portfolio Turnover Rate 20% ====================================================================================================================
*Inception. **Annualized.
- -------------------------------------------------------------------------------------------------------------------- MID-CAP INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, --------------------------------- APR. 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 DEC. 31, 1998 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $12.21 $11.30 $10.79 $10.00 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .081 .071 .073 .053 Net Realized and Unrealized Gain (Loss) on Investments (.166) 1.897 1.448 .840 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (.085) 1.968 1.521 .893 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.070) (.078) (.076) (.053) Distributions from Realized Capital Gains (.245) (.980) (.935) (.050) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (.315) (1.058) (1.011) (.103) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $11.81 $12.21 $11.30 $10.79 ==================================================================================================================== TOTAL RETURN** -0.50% 18.10% 15.32% 8.55% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $2,049 $1,614 $605 $206 Ratio of Total Expenses to Average Net Assets 0.25% 0.25% 0.25% 0.25%+ Ratio of Net Investment Income to Average Net Assets 0.83% 0.90% 0.99% 1.19%+ Portfolio Turnover Rate 24% 51% 38% 44% ====================================================================================================================
* Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. ** Total returns do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999, or the $10 annual account maintenance fee applied on balances under $10,000. + Annualized. 55
- -------------------------------------------------------------------------------------------------------------------- MID-CAP INDEX FUND ADMIRAL SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------- NOV.12* FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2000 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $50.00 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .056 Net Realized and Unrealized Gain (Loss) on Investments 3.982 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations 4.038 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.320) Distributions from Realized Capital Gains (.158) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (.478) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $53.56 ==================================================================================================================== TOTAL RETURN 8.06% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $223 Ratio of Total Expenses to Average Net Assets 0.20%** Ratio of Net Investment Income to Average Net Assets 0.86%** Portfolio Turnover Rate 24% ====================================================================================================================
*Inception. **Annualized.
- -------------------------------------------------------------------------------------------------------------------- MID-CAP INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, --------------------------------- MAY 20* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 DEC. 31, 1998 - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $12.23 $11.30 $10.79 $10.03 - -------------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .097 .081 .083 .055 Net Realized and Unrealized Gain (Loss) on Investments (.166) 1.918 1.448 .814 - -------------------------------------------------------------------------------------------------------------------- Total from Investment Operations (.069) 1.999 1.531 .869 - -------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.086) (.089) (.086) (.059) Distributions from Realized Capital Gains (.245) (.980) (.935) (.050) - -------------------------------------------------------------------------------------------------------------------- Total Distributions (.331) (1.069) (1.021) (.109) - -------------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $11.83 $12.23 $11.30 $10.79 =================================================================================================================== TOTAL RETURN** -0.37% 18.39% 15.41% 8.61% ==================================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $650 $307 $143 $39 Ratio of Total Expenses to Average Net Assets 0.10% 0.12% 0.12% 0.12%+ Ratio of Net Investment Income to Average Net Assets 1.00% 1.03% 1.11% 1.30%+ Portfolio Turnover Rate 24% 51% 38% 44% ====================================================================================================================
* Initial share purchase date. Subscription period for the fund was April 20, 1998, to May 20, 1998, during which time all assets were held in money market instruments. Performance measurement begins May 21, 1998. ** Total returns do not reflect the 0.25% transaction fee on purchases from inception through February 28, 1999. + Annualized. 56 NOTES TO FINANCIAL STATEMENTS Vanguard Extended Market Index and Mid-Cap Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Extended Market Index Fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. The Mid-Cap Index Fund offers three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares were first issued by the Extended Market Index Fund on November 13, 2000, and by the Mid-Cap Index Fund on November 12, 2001. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares were first issued on December 27, 2001, and first offered to the public on January 4, 2002. VIPER Shares are listed for trading on the American Stock Exchange; they can be purchased and sold through a broker. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FUTURES CONTRACTS: The funds use index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. Both funds use S&P MidCap 400 Index futures contracts; the Extended Market Index Fund also uses Russell 2000 Index futures contracts. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of 57 the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Each class of shares has equal rights as to assets and earnings, except that each class bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2001, the funds had contributed capital to Vanguard (included in Other Assets) of: - -------------------------------------------------------------------------------- CAPITAL CONTRIBUTIONS PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION - -------------------------------------------------------------------------------- Extended Market $819 0.02% 0.82% Mid-Cap 491 0.02 0.49 - -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. The funds' custodian banks have agreed to reduce their fees when the funds maintain cash on deposit in their non-interest-bearing custody accounts. For the year ended December 31, 2001, custodian fee offset arrangements reduced expenses of the Extended Market Index Fund by $41,000. D. During the year ended December 31, 2001, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) ------------------------------------ INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Extended Market $ 930,868 $1,011,944 Mid-Cap 1,552,630 552,322 - -------------------------------------------------------------------------------- During the year ended December 31, 2001, the Extended Market Index Fund realized $46,053,000 of net capital gains resulting from in-kind redemptions--in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. The funds used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from net investment income and realized capital gains. 58 Accordingly, the funds have reclassified the following amounts from undistributed net investment income and accumulated net realized gains to paid-in capital: - -------------------------------------------------------------------------------- (000) ------------------------------------ UNDISTRIBUTED ACCUMULATED NET INVESTMENT NET REALIZED INDEX FUND INCOME GAINS - -------------------------------------------------------------------------------- Extended Market -- $1,387 Mid-Cap $1,266 1,933 - -------------------------------------------------------------------------------- At December 31, 2001, the Extended Market Index Fund had available a capital loss carryforward of $96,297,000 to offset future net capital gains through December 31, 2009. The Mid-Cap Index Fund had capital gains of $19,554,000 available for distribution, including short-term gains of $3,130,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. E. At December 31, 2001, net unrealized appreciation (depreciation) of investment securities for financial reporting and federal income tax purposes was: - -------------------------------------------------------------------------------- (000) --------------------------------------------------------- NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- Extended Market $1,181,733 $(1,956,381) $(774,648) Mid-Cap 335,777 (320,012) 15,765 - -------------------------------------------------------------------------------- At December 31, 2001, the aggregate settlement value of open futures contracts expiring in March 2002 and the related unrealized appreciation were: - -------------------------------------------------------------------------------- (000) --------------------------------------------------------- AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- Extended Market/ S&P MidCap 400 Index 33 $ 8,400 $111 Russell 2000 Index 20 4,893 206 Mid-Cap/ S&P MidCap 400 Index 75 19,091 227 - -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. F. The market value of securities on loan to broker/dealers at December 31, 2001, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) ------------------------------------ Market Value Cash of Loaned Collateral Index Fund Securities Received - -------------------------------------------------------------------------------- Extended Market $114,427 $142,501 Mid-Cap 18,642 19,641 - -------------------------------------------------------------------------------- The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. 59 NOTES TO FINANCIAL STATEMENTS (CONTINUED) G. Capital share transactions for each class of shares were:
- --------------------------------------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, - --------------------------------------------------------------------------------------------------------------- 2001 2000 ----------------------------------------------------------------- AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------- EXTENDED MARKET Investor Shares Issued $ 727,483 31,370 $ 1,892,534 51,426 Issued in Lieu of Cash Distributions 131,597 6,046 564,787 20,785 Redeemed (1,135,725) (48,346) (1,345,905) (40,247) ----------------------------------------------------------------- Net Increase (Decrease)--Investor Shares (276,645) (10,930) 1,111,416 31,964 ----------------------------------------------------------------- Admiral Shares Issued 501,193 21,176 497,269 16,161 Issued in Lieu of Cash Distributions 22,281 1,021 41,516 1,697 Redeemed (155,632) (6,918) (38,811) (1,286) ----------------------------------------------------------------- Net Increase (Decrease)--Admiral Shares 367,842 15,279 499,974 16,572 ----------------------------------------------------------------- Institutional Shares Issued 218,134 9,578 452,661 11,921 Issued in Lieu of Cash Distributions 29,404 1,350 116,802 4,366 Redeemed (335,002) (14,477) (139,861) (3,887) ----------------------------------------------------------------- Net Increase (Decrease)--Institutional Shares (87,464) (3,549) 429,602 12,400 ----------------------------------------------------------------- VIPER Shares Issued 6,094 100 -- -- Issued in Lieu of Cash Distributions -- -- -- -- Redeemed -- -- -- -- ----------------------------------------------------------------- Net Increase (Decrease)--VIPER Shares 6,094 100 -- -- ----------------------------------------------------------------- MID-CAP Investor Shares Issued $1,136,312 98,181 $1,089,223 86,090 Issued in Lieu of Cash Distributions 45,956 4,156 111,331 9,743 Redeemed (688,892) (61,095) (213,574) (17,151) ----------------------------------------------------------------- Net Increase (Decrease)--Investor Shares 493,376 41,242 986,980 78,682 ----------------------------------------------------------------- Admiral Shares Issued 216,530 4,190 -- -- Issued in Lieu of Cash Distributions 1,572 29 -- -- Redeemed (2,605) (50) -- -- ----------------------------------------------------------------- Net Increase (Decrease)--Admiral Shares 215,497 4,169 -- -- ----------------------------------------------------------------- Institutional Shares Issued 448,946 39,033 178,087 14,738 Issued in Lieu of Cash Distributions 9,834 871 18,147 1,576 Redeemed (111,469) (10,112) (48,121) (3,816) ----------------------------------------------------------------- Net Increase (Decrease)--Institutional Shares 347,311 29,792 148,113 12,498 - ---------------------------------------------------------------------------------------------------------------
60 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds In our opinion, the accompanying statements of net assets and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Vanguard Extended Market Fund and Vanguard Mid-Cap Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2001, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2001 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania January 31, 2002 - -------------------------------------------------------------------------------- SPECIAL 2001 TAX INFORMATION (unaudited) for Vanguard U.S. Stock Index Funds (Mid-Capitalization Portfolios) This information for the fiscal year ended December 31, 2001, is included pursuant to provisions of the Internal Revenue Code. The funds distributed capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year, all of which are designated as 20% rate gain distributions, as follows: - -------------------------------------------------------------------------------- Index Fund Capital Gain Dividends - -------------------------------------------------------------------------------- Extended Market $142,536,000 Mid-Cap 39,159,000 - -------------------------------------------------------------------------------- For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: - -------------------------------------------------------------------------------- Index Fund Percentage - -------------------------------------------------------------------------------- Extended Market 71.5% Mid-Cap 92.3 - -------------------------------------------------------------------------------- 61 ADVANTAGES OF VANGUARD.COM(TM) [COMPUTER] Why wait for the mail? 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These technologies provide a high level of security and privacy when you access your account information, initiate online transactions, or send us messages. 62 THE VANGUARD(R) Family of Funds STOCK FUNDS 500 Index Fund Calvert Social Index(TM) Fund Capital Opportunity Fund Convertible Securities Fund Developed Markets Index Fund Emerging Markets Stock Index Fund Energy Fund Equity Income Fund European Stock Index Fund Explorer(TM) Fund Extended Market Index Fund Global Equity Fund Gold and Precious Metals Fund Growth and Income Fund Growth Equity Fund Growth Index Fund Health Care Fund Institutional Developed Markets Index Fund Institutional Index Fund International Growth Fund International Value Fund Mid-Cap Index Fund Morgan(TM) Growth Fund Pacific Stock Index Fund PRIMECAP Fund REIT Index Fund Selected Value Fund Small-Cap Growth Index Fund Small-Cap Index Fund Small-Cap Value Index Fund Strategic Equity Fund Tax-Managed Capital Appreciation Fund Tax-Managed Growth and Income Fund Tax-Managed International Fund Tax-Managed Small-Cap Fund Total International Stock Index Fund Total Stock Market Index Fund U.S. Growth Fund U.S. Value Fund Utilities Income Fund Value Index Fund Windsor(TM) Fund Windsor(TM) II Fund BALANCED FUNDS Asset Allocation Fund Balanced Index Fund Global Asset Allocation Fund LifeStrategy(R) Conservative Growth Fund LifeStrategy(R) Growth Fund LifeStrategy(R) Income Fund LifeStrategy(R) Moderate Growth Fund STAR(TM) Fund Tax-Managed Balanced Fund Wellesley(R) Income Fund Wellington(TM) Fund BOND FUNDS Admiral(TM) Intermediate-Term Treasury Fund Admiral(TM) Long-Term Treasury Fund Admiral(TM) Short-Term Treasury Fund GNMA Fund High-Yield Corporate Fund High-Yield Tax-Exempt Fund Inflation-Protected Securities Fund Insured Long-Term Tax-Exempt Fund Intermediate-Term Bond Index Fund Intermediate-Term Corporate Fund Intermediate-Term Tax-Exempt Fund Intermediate-Term Treasury Fund Limited-Term Tax-Exempt Fund Long-Term Bond Index Fund Long-Term Corporate Fund Long-Term Tax-Exempt Fund Long-Term Treasury Fund Preferred Stock Fund Short-Term Bond Index Fund Short-Term Corporate Fund Short-Term Federal Fund Short-Term Tax-Exempt Fund Short-Term Treasury Fund StateTax-Exempt Bond Funds (California, Florida, Massachusetts, New Jersey, New York, Ohio, Pennsylvania) Total Bond Market Index Fund MONEY MARKET FUNDS Admiral(TM) Treasury Money Market Fund Federal Money Market Fund Prime Money Market Fund StateTax-Exempt Money Market Funds (California, New Jersey, New York, Ohio, Pennsylvania) Tax-Exempt Money Market Fund Treasury Money Market Fund VARIABLE ANNUITY PLAN Balanced Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Growth Portfolio High-Grade Bond Portfolio High Yield Bond Portfolio International Portfolio Mid-Cap Index Portfolio Money Market Portfolio REIT Index Portfolio Short-Term Corporate Portfolio Small Company Growth Portfolio For information about Vanguard funds and our variable annuity plan, including charges and expenses, obtain a prospectus from The Vanguard Group, P.O. Box 2600, Valley Forge, PA 19482-2600. Read it carefully before you invest or send money. THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
- ----------------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ----------------------------------------------------------------------------------------------------------------------------------- Chairman of the Board, Chairman of the Board, Chief Executive Officer, and JOHN J. BRENNAN* Chief Executive Officer, Director/Trustee of The Vanguard Group, Inc., and of each of the investment (July 29, 1954) and Trustee companies served by The Vanguard Group. May 1987 (106) - ----------------------------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in education); Senior Adviser (October 23, 1937) (106) to Greenwich Associates (international business-strategy consulting); January 2001 Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ----------------------------------------------------------------------------------------------------------------------------------- RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October 1999), Vice (December 23, 1945) (84) Chairman (January-September 1999), and Vice President (prior to December 2001 December 2001 September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - ----------------------------------------------------------------------------------------------------------------------------------- JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and Member of the Executive (January 25, 1950) (106) Committee of Johnson & Johnson (pharmaceuticals/consumer products); July 1998 Director of the Medical Center at Princeton and Women's Research and Education Institute. - ----------------------------------------------------------------------------------------------------------------------------------- BRUCE K. MACLAURY Trustee President Emeritus of The Brookings Institution (an independent, (May 7, 1931) (86) nonpartisan research organization); Director of the American Express January 1990 Bank, Ltd., The St. Paul Companies, Inc. (insurance and financial services), and the National Steel Corp. - ----------------------------------------------------------------------------------------------------------------------------------- BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, Princeton (August 28, 1932) (104) University; Director of Prudential Insurance Co. of America, BKF Capital May 1977 (investment management), The Jeffrey Co. (a holding company), and NeuVis, Inc. (a software company). - ----------------------------------------------------------------------------------------------------------------------------------- ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and Director of NACCO (October 8, 1941) (106) Industries, Inc. (forklift trucks/housewares/lignite); Director of Goodrich January 1993 Corporation (industrial products/aircraft systems and services); Director of the Standard Products Company (a supplier for the automotive industry) until 1998. - ----------------------------------------------------------------------------------------------------------------------------------- JAMES O. WELCH, JR. Trustee Retired Chairman of Nabisco Brands, Inc.; retired Vice Chairman (May 13, 1931) (106) and Director of RJR Nabisco; Director of TECO Energy, Inc. September 1971 - ----------------------------------------------------------------------------------------------------------------------------------- J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of Rohm and Haas Co. (March 2, 1936) (106) (chemicals); Director of Cummins Inc. (diesel engines), The Mead April 1985 Corp. (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University.
activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
- ----------------------------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ----------------------------------------------------------------------------------------------------------------------------------- R. GREGORY BARTON Secretary Managing Director and General Counsel of The Vanguard Group, Inc. (April 25, 1951) (106) (since September 1997); Secretary of The Vanguard Group, and of each June 2001 of the investment companies served by The Vanguard Group; Principal of The Vanguard Group (prior to September 1997). - ----------------------------------------------------------------------------------------------------------------------------------- THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; Treasurer of each of the investment (May 21, 1957) (106) companies served by The Vanguard Group. July 1998 - ----------------------------------------------------------------------------------------------------------------------------------- *Officers of the funds are "interested persons" as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. VANGUARD SENIOR MANAGEMENT TEAM MORTIMOR J. BUCKLEY, Information Technology. JAMES H. GATELY, Director Investor Services. KATHLEEN C. GUBANICH, Human Resources. IAN A. MACKINNON, Fixed Income Group. F. WILLIAM MCNABB, III, Instititional Investor Group. MICHAEL S. MILLER, Planning and Developement. RALPH K. PACKARD, Chief Finanaicl Officer. GEORGE U. SAUTER, Quantitative Equity Group. - -------------------------------------------------------------------------------- JOHN C. BOGLE, Founder; Chairman and Chief Executive Officer, 1974-1996. - -------------------------------------------------------------------------------- Vanguard, The Vanguard Group, Admiral, VIPER, VIPERs, Vanguard.com Explorer, Morgan, LifeStrategy, STAR, Wellesley, Wellington, Windsor, and the shop logo are trademarks of The Vanguard Group, Inc. Standard & Poor's(R), S&P 500(R), and S&P MidCap 400 are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. Calvert Social Index is a trademark of Calvert Group, Ltd., and has been licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and Calvert Group, Ltd. makes no representation regarding the advisability of investing in the fund. All other marks are the property of their respective owners. [SHIP] [THE VANGUARD GROUP LOGO] Post Office Box 2600 Valley Forge, PA 19482-2600 ABOUT OUR COVER Our cover photograph was taken by Michael Kahn in September 2000 aboard HMS Rose in New York's Long Island Sound. Mr. Kahn is a renowned photographer--and accomplished sailor--whose work often focuses on seascapes and nautical images. The photograph is copyrighted by Mr. Kahn. All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. FOR MORE INFORMATION This report is intended for the fund's shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through Vanguard.com(TM). Prospectuses may also be viewed online. FUND INFORMATION 1-800-662-7447 TEXT TELEPHONE 1-800-952-3335 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 WORLD WIDE WEB www.vanguard.com (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q980 022002 VANGUARD(R) U.S. STOCK INDEX FUNDS LARGE-CAPITALIZATION PORTFOLIOS ANNUAL REPORT * DECEMBER 31, 2001 STOCK VANGUARD GROWTH INDEX FUND VANGUARD VALUE INDEX FUND VANGUARD TOTAL STOCK MARKET INDEX FUND PERSPECTIVE Maintaining a long-term investment perspective isn't easy. Perhaps that's why it has proven to be so rewarding. With news, information, and opinion constantly bombarding us, the temptation to buy or sell--to do something--is powerful. Yet such activity is often counterproductive. Emotions can lead us to big mistakes, like jumping into a hot investment we know little about or selling a sound long-term holding when it sags for a while. The actions we recommend are quite simple. First, take the time to decide on a mix of stocks, bonds, and cash investments that makes sense for you. Take into account your investment time horizon, your goals, and your ability and willingness to ride out market fluctuations. Write this mix down--it's your investment plan. Second, use low-cost, widely diversified mutual funds to carry out your asset allocation. Third, stick with your plan, unless there's a major change in your time horizon, goals, or financial situation. Don't "play the market"--and if you feel you must, don't risk more than a tiny percentage of your assets. Finally, if market news, the opinions of "experts," or the hope of a big score tempts you to act, consult your plan. It may help you keep a long-term perspective. - -------------------------------------------------------------------------------- CONTENTS Letter from the Chairman 1 Fund Profiles 7 Glossary of Investment Terms 10 Performance Summaries 11 Your Fund's After-Tax Returns 15 Financial Statements 16 Advantages of Vanguard.com 39 - -------------------------------------------------------------------------------- Summary * Each of the large-capitalization Vanguard U.S. Stock Index Funds posted a disappointing absolute return but succeeded in hewing closely to its target index. * A stock market rally late in the year reversed some of the decline that followed the September 11 tragedies, but 2001 still saw the market's second straight 12-month drop. * Since their inceptions, all three of the large-cap index funds have outperformed their average rivals. LETTER FROM THE CHAIRMAN FELLOW SHAREHOLDER, During 2001, large-capitalization stocks continued to retreat from the unprecedented heights reached in the late 1990s. All of the large-cap Vanguard(R) U.S. Stock Index Funds posted disappointing returns, as did the unmanaged indexes they track. VANGUARD(R) GROWTH INDEX FUND, which invests in the most highly valued large-cap stocks, earned -12.9%. VANGUARD(R) VALUE INDEX FUND, which holds large-cap stocks that sell at lower prices relative to earnings and assets, returned -11.9%. VANGUARD(R) TOTAL STOCK MARKET INDEX FUND, which, like the all-market index it tracks, holds all types of U.S. stocks but is dominated by large-cap issues, returned -11.0%. The index funds' disappointing absolute returns were mixed relative to competing mutual funds. The Growth Index Fund outpaced its average actively managed competitor, the Value Index Fund lagged, and the Total Stock Market Index Fund finished the year just a hair behind its peer group. The table at left displays the total returns (capital change plus reinvested dividends) for the different share classes of the three index funds, as well as the returns of their target indexes and their mutual fund peers. - ------------------------------------------------------------------------------ 2001 TOTAL RETURNS FISCAL YEAR ENDED DECEMBER 31 - ------------------------------------------------------------------------------ VANGUARD GROWTH INDEX FUND Investor Shares -12.9% Admiral Shares -12.9 Institutional Shares -12.8 Average Large-Cap Growth Fund* -23.0 S&P 500/Barra Growth Index -12.7 - ------------------------------------------------------------------------------ VANGUARD VALUE INDEX FUND Investor Shares -11.9% Admiral Shares -11.8 Institutional Shares -11.8 Average Large-Cap Value Fund* -6.7 S&P 500/Barra Value Index -11.7 - ------------------------------------------------------------------------------ VANGUARD TOTAL STOCK MARKET INDEX FUND Investor Shares -11.0% Admiral Shares -10.9 Institutional Shares -10.9 Average Multi-Cap Core Fund* -10.9 Wilshire 5000 Index -11.0 VANGUARD TOTAL STOCK MARKET INDEX FUND VIPER SHARES (SINCE MAY 24, 2001, INCEPTION) - ------------------------------------------------------------------------------ VIPER Market Price -10.2% VIPER Net Asset Value -9.8 Wilshire 5000 Index -9.8 - ------------------------------------------------------------------------------ *Derived from data provided by Lipper Inc. Admiral(TM) Shares, which were introduced in November 2000, are a lower-cost share class available to long-standing shareholders and individuals with substantial investments in the funds--those clients who generate economies of scale for all shareholders. Institutional Shares, which carry the lowest 1 costs, are available for minimum investments of $10 million. Finally, the table shows the results for our Total Stock Market Index VIPER(TM) Shares. VIPER Shares, introduced in May 2001, combine the diversification of our index fund with the tradability of an individual stock. These shares are listed on the American Stock Exchange and can be bought or sold through a brokerage firm. The table on page 1 shows both the market-price return (the estimated return earned by investors who held these shares from May 24, 2001, to December 31, 2001) and the return based on changes in the net asset value of our Total Stock Market Index VIPER Shares. - -------------------------------------------------------------------------------- MARKET BAROMETER AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 --------------------------------- ONE THREE FIVE YEAR YEARS YEARS - -------------------------------------------------------------------------------- STOCKS S&P 500 Index (Large-caps) -11.9% -1.0% 10.7% Russell 2000 Index (Small-caps) 2.5 6.4 7.5 Wilshire 5000 Index (Entire market) -11.0 -0.7 9.7 MSCI EAFE Index (International) -22.0 -5.3 0.7 - -------------------------------------------------------------------------------- BONDS Lehman Aggregate Bond Index (Entire market) 8.4% 6.3% 7.4% Lehman 10 Year Municipal Bond Index 4.6 4.6 5.9 Salomon Smith Barney 3-Month U.S. Treasury Bill Index 4.1 4.9 5.0 ================================================================================ CPI Consumer Price Index 1.6% 2.5% 2.2% - -------------------------------------------------------------------------------- The table at the top of page 6 details how often the closing price of Total Stock Market Index VIPER Shares was higher or lower than the net asset value of the shares. On nearly 90% of trading days since the fund's inception, the closing price varied by less than 25 basis points (one-quarter of 1%) from the NAV. The table at the bottom of page 6 displays the changes in net asset value and any income and capital gains distributions for the different share classes of the three funds. If you own the funds in a taxable account, you may wish to review our report on after-tax returns on page 15. FINANCIAL MARKETS IN REVIEW Stock investors were sorely tested in 2001. The longest economic expansion in U.S. history ended in March and a recession began. Corporate profits and stock market valuations were already down sharply before September 11. The terrorist attacks led to a four-day hiatus from stock trading, and stock prices lost more ground when trading resumed. However, a rally took hold in the remainder of the year, reducing the market's losses. For the full 12 months, though, the broad U.S. stock market lost more than 10% of its value, producing its first back-to-back yearly losses since 1973-1974. During the first nine months of the year, value-oriented shares outperformed growth stocks--by declining more modestly. But the fourth quarter's upturn brought a reversal: Growth stocks delivered the strongest gains. Small-capitalization stocks bested large ones throughout the year. On balance, stocks, as measured by the Wilshire 5000 Total Market Index, declined -11.0%. 2 A Record Number of Interest Rate Cuts (12 months ended December 31, 2001) In 2001, the Federal Reserve Board lowered its target for short-term interest rates a record 11 times. By repeatedly reducing the federal funds rate--the interest rate that banks charge each other for overnight loans made through the Federal Reserve System-- the Fed hoped to encourage banks to make loans more widely available, spurring investment and economic growth. - -------------------------------------------------------------------------------- Source: Federal Reserve Board. The dismal environment for stocks proved to be a tonic for bonds. In an aggressive attempt to jump-start the flagging U.S. economy, the Federal Reserve Board slashed interest rates 11 times. As shown in the chart above, the Fed pushed its target for short-term interest rates from 6.50% to 1.75%--the lowest level in four decades. Lower interest rates translated into meaningful price gains for most high-quality bonds. For the year, the Lehman Brothers Aggregate Bond Index, a measure of the entire market for investment-grade U.S. bonds, returned 8.4%. Of course, lower rates can be tough on investors who depend on fixed income securities for current income. By the end of the year, the yield of the 3-month U.S. Treasury bill had plunged to 1.72%, down from 5.90% at the beginning of the year and roughly even with the rate of inflation. As a result, most short-term investment vehicles were providing minuscule "real," or inflation-adjusted, returns. The yields of the 10-year Treasury note and the 30-year Treasury bond finished 2001 little changed, at 5.05% and 5.47%, respectively. 2001 PERFORMANCE OVERVIEW A few broad themes explain the varied performances of the three large-cap index funds. First, small- and mid-sized stocks outperformed large-cap stocks, allowing the Total Stock Market Index Fund to post the best return. Although this fund, like the stock market itself, is made up primarily of large-cap stocks, about 25% to 30% of its assets represent the market's mid-cap and smaller fare. - ------------------------------------------------------------------------- 2001 TOTAL RETURNS YEAR ENDED DECEMBER 31 ----------------------------------------- AVERAGE VANGUARD COMPARABLE U.S. STOCK INDEX FUND FUND FUND DIFFERENCE - ------------------------------------------------------------------------- Growth -12.9% -23.0% +10.1% Value -11.9 -6.7 -5.2 Total Stock Market -11.0 -10.9 -0.1 - ------------------------------------------------------------------------- Large-cap value stocks performed marginally better than large-cap growth stocks, causing the Value Index Fund to outpace (by losing 1 percentage point less) the Growth Index Fund. 3 The large-cap index funds posted mixed results relative to their mutual fund peers. The Growth Index Fund outperformed its average rival by 10.1 percentage points, as the typical actively managed growth portfolio made a heavier commitment to technology stocks. As capital spending dried up, technology company profits evaporated, and their stock prices plummeted. The Value Index Fund trailed the average large-cap value fund by 5.2 percentage points. The fund's index has a slight bias toward larger and more highly valued stocks (measured by such yardsticks as price/earnings and price/book ratios) than those held by the average large-cap value manager. As a result, the fund has generally outperformed rivals when the market has had a growth orientation, but lagged when hard-core value stocks have ruled the day. The Total Stock Market Index Fund trailed the average multi-cap core fund by 0.1 percentage point. However, it's important to note that the fund outperformed a majority of the funds in the group. (The average return reflected the relatively strong performance of a small number of funds.) An index fund's objective is to track the performance of its target index. On that score, Vanguard's Quantitative Equity Group fulfilled its mission with its customary excellence, even in a difficult stock market. The returns of each of the large-cap index funds either matched or were within 0.2 percentage point of their benchmarks, which incur neither the operating nor the transaction costs that affect a mutual fund with daily cash flows. We take great pride in our management team's ability to minimize the impact of costs on your returns. LONG-TERM PERFORMANCE OVERVIEW This past year marked the 25th anniversary of indexing at Vanguard. In August 1976, we introduced the first index mutual fund, which tracked the Standard & Poor's 500 Index. Vanguard 500 Index Fund is now the world's largest mutual fund, and has an enviable long-term record. Since the creation of that pioneering fund, Vanguard has developed indexed portfolios for the broad stock and bond markets and a range of market sectors and asset classes. The same policies that have made the 500 Index Fund a success in large-cap stocks--low costs and a practice of keeping all assets invested in the stock market--have worked well in both more broadly and more narrowly focused indexing strategies, as demonstrated by the table on page 5. Since their inceptions, all three index funds have outperformed their average actively managed rivals. The Growth Index Fund has amassed the largest margin of victory--an average of 1.3 percentage points per year since the fund's 1992 inception, turning an initial investment of $10,000 into $31,141. The same investment in the average large-cap growth fund would have grown to just $27,966. It's no surprise that the Growth Index Fund also enjoys a greater cost advantage over its average rival than the other two large-cap index funds. The 4 - -------------------------------------------------------------------------------- TOTAL RETURNS INCEPTION* THROUGH DECEMBER 31, 2001 --------------------------- AVERAGE FINAL VALUE OF ANNUAL A $10,000 RETURN INITIAL INVESTMENT - -------------------------------------------------------------------------------- VANGUARD GROWTH INDEX FUND INVESTOR SHARES 13.2% $31,141 Average Large-Cap Growth Fund 11.9 27,966 S&P 500/Barra Growth Index 13.3 31,448 - -------------------------------------------------------------------------------- VANGUARD VALUE INDEX FUND INVESTOR SHARES 13.5% $31,828 Average Large-Cap Value Fund 12.8 30,030 S&P 500/Barra Value Index 13.6 32,174 - -------------------------------------------------------------------------------- VANGUARD TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES 12.7% $31,878 Average Multi-Cap Core Fund 12.0 30,050 Wilshire 5000 Index 12.9 32,333 - -------------------------------------------------------------------------------- * For Growth and Value Index Funds, inception is November 2, 1992; for the Total Stock Market Index Fund, inception is April 27, 1992. Growth Index Fund has an expense ratio (operating expenses as a percentage of net assets) of just 0.22%. The average large-cap growth fund charges 1.46%, nearly seven times as much. Both the Value Index Fund and the Total Stock Market Index Fund have a slightly smaller, but still imposing cost advantage: Their expense ratios are about one-sixth those of their rivals. In the short run, the importance of costs is easy to overlook. But in the long run, it's hard to ignore. All else being equal, when it comes time to divide the markets' spoils, those funds that take the least in costs reward their shareholders most. IN CLOSING During the past year, large-cap stocks were a big disappointment. But for the long-term investor, the market's rough patch is a healthy reminder that stocks can go down as well as up. That's why we advise investors to buy and hold a broadly diversified mix of stock funds, bond funds, and cash investments tailored to their unique risk preferences, time horizons, and financial circumstances. Such a mix, held through good times and bad, positions you to benefit from the long-term growth potential of stocks, while providing some protection from the stock market's occasionally sharp declines. Finally, keep an eagle eye on costs, so that you retain more of the returns provided by our investment markets. We thank you for entrusting your hard-earned assets to us, and we extend a warm welcome to our new shareholders. SINCERELY, JOHN J. BRENNAN CHAIRMAN AND CHIEF EXECUTIVE OFFICER JANUARY 11, 2002 5 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND VIPER SHARES PREMIUM/DISCOUNT SINCE INCEPTION (THROUGH DECEMBER 31, 2001) CLOSING PRICE ABOVE OR EQUAL TO CLOSING PRICE BELOW NET ASSET VALUE NET ASSET VALUE ------------------------- --------------------- NUMBER PERCENTAGE OF NUMBER PERCENTAGE OF BASIS POINT DIFFERENTIAL* OF DAYS TOTAL DAYS OF DAYS TOTAL DAYS - -------------------------------------------------------------------------------- 0-24.9 83 55.70% 50 33.56% 25-49.9 7 4.70 7 4.70 50-74.9 1 0.67 0 0.00 75-100.0 0 0.00 0 0.00 >100.0 0 0.00 1 0.67 - -------------------------------------------------------------------------------- Total 91 61.07% 58 38.93% - -------------------------------------------------------------------------------- *1% = 100 basis points. - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- YOUR FUND'S PERFORMANCE AT A GLANCE DISTRIBUTIONS SHARE PRICE PER SHARE -------------------------------- ----------------- STARTING: ENDING: INCOME CAPITAL DEC. 31, 2000 DEC. 31, 2001 DIVIDENDS GAINS - -------------------------------------------------------------------------------- VANGUARD GROWTH INDEX FUND Investor Shares $30.57 $26.42 $0.187 $0.000 Admiral Shares 30.57 26.42 0.200 0.000 Institutional Shares 30.57 26.42 0.219 0.000 VANGUARD VALUE INDEX FUND Investor Shares $22.87 $18.90 $0.316 $0.977 Admiral Shares 22.87 18.90 0.325 0.977 Institutional Shares 22.87 18.90 0.340 0.977 VANGUARD TOTAL STOCK MARKET INDEX FUND Investor Shares $29.26 $25.74 $0.297 $0.000 Admiral Shares 29.26 25.75 0.309 0.000 Institutional Shares 29.27 25.75 0.328 0.000 VIPER Shares 118.46* 105.80 0.988* 0.000 - -------------------------------------------------------------------------------- *Since inception on May 24, 2001. 6 FUND PROFILE AS OF DECEMBER 31, 2001 FOR GROWTH INDEX FUND This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 10. - ------------------------------------------------------------------ PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - ------------------------------------------------------------------ Number of Stocks 146 146 6,054 Median Market Cap $98.7B $98.7B $33.4B Price/Earnings Ratio 38.1x 38.1x 30.7x Price/Book Ratio 8.0x 8.0x 3.3x Yield 1.2% 1.3% Investor Shares 0.8% -- -- Admiral Shares 0.8% -- -- Institutional Shares 0.9% -- -- Return on Equity 29.4% 29.4% 22.6% Earnings Growth Rate 19.1% 19.1% 14.5% Foreign Holdings 0.6% 0.0% 0.0% Turnover Rate 31% -- -- Expense Ratio Investor Shares 0.22% -- -- Admiral Shares 0.17% -- -- Institutional Shares 0.10% -- -- Cash Investments 0.0% -- -- - ------------------------------------------------------------------ - --------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 7.7% (conglomerate) Microsoft Corp. 6.9 (software) Wal-Mart Stores, Inc. 4.9 (retail) Pfizer, Inc. 4.8 (pharmaceuticals) Intel Corp. 4.1 (computer hardware) International Business Machines Corp. 4.0 (computer technology) Johnson & Johnson 3.5 (pharmaceuticals) Merck & Co., Inc. 2.6 (pharmaceuticals) Cisco Systems, Inc. 2.6 (computer networks) Home Depot, Inc. 2.3 (retail) - --------------------------------------------------- Top Ten 43.4% - --------------------------------------------------- - ------------------------------------------------------------------------ VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - ------------------------------------------------------------------------ R-Squared 1.00 1.00 0.87 1.00 Beta 1.00 1.00 1.10 1.00 - ------------------------------------------------------------------------ - ---------------------------- INVESTMENT FOCUS MARKET CAP LARGE STYLE GROWTH - ---------------------------- - ------------------------------------------------------------------ SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - ------------------------------------------------------------------ Auto & Transportation 0.3% 0.3% 2.0% Consumer Discretionary 14.1 14.1 14.8 Consumer Staples 13.3 13.3 6.4 Financial Services 7.4 7.4 20.3 Health Care 26.7 26.8 14.2 Integrated Oils 0.0 0.0 3.5 Other Energy 0.0 0.0 2.1 Materials & Processing 0.3 1.2 3.4 Technology 27.3 27.3 16.6 Utilities 0.7 0.7 8.1 Other 8.6 8.6 5.3 - ------------------------------------------------------------------ VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. *S&P 500/Barra Growth Index. 7 FUND PROFILE AS OF DECEMBER 31, 2001 FOR VALUE INDEX FUND This Profile provides a snapshot of the fund's characteristics, compared where appropriate to both its unmanaged target index and a broad market index. Key terms are defined on page 10. - -------------------------------------------------------------------------------- PORTFOLIO CHARACTERISTICS TARGET WILSHIRE FUND INDEX* 5000 - -------------------------------------------------------------------------------- Number of Stocks 356 354 6,054 Median Market Cap $31.0B $31.0B $33.4B Price/Earnings Ratio 23.3x 23.3x 30.7x Price/Book Ratio 2.4x 2.4x 3.3x Yield 2.0% 1.3% Investor Shares 1.5% -- -- Admiral Shares 1.6% -- -- Institutional Shares 1.6% -- -- Return on Equity 18.7% 18.7% 22.6% Earnings Growth Rate 9.0% 9.0% 14.5% Foreign Holdings 2.0% 0.0% 0.0% Turnover Rate 38% -- -- Expense Ratio Investor Shares 0.22% -- -- Admiral Shares 0.17% -- -- Institutional Shares 0.10% -- -- Cash Investments 0.1% -- -- - -------------------------------------------------------------------------------- - ------------------------------------------ TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) Exxon Mobil Corp. 5.1% (oil) Citigroup, Inc. 4.9 (financial services) American International Group, Inc. 3.9 (insurance) AOL Time Warner Inc. 2.7 (media) SBC Communications Inc. 2.5 (telecommunications) Verizon Communications 2.4 (telecommunications) Tyco International Ltd. 2.2 (diversified services) Royal Dutch Petroleum Co. ADR 2.0 (energy) Bank of America Corp. 1.9 (banking) ChevronTexaco Corp. 1.8 (oil) - ------------------------------------------ Top Ten 29.4% - ------------------------------------------ - ------------------------------------------------------------------- VOLATILITY MEASURES TARGET WILSHIRE FUND INDEX* FUND 5000 - ------------------------------------------------------------------- R-Squared 1.00 1.00 0.60 1.00 Beta 1.00 1.00 0.71 1.00 - ------------------------------------------------------------------- - ----------------------------- INVESTMENT FOCUS MARKET CAP LARGE STYLE VALUE - ----------------------------- - ---------------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) TARGET WILSHIRE FUND INDEX* 5000 - ---------------------------------------------------------------- Auto & Transportation 3.2% 3.3% 2.0% Consumer Discretionary 12.2 12.1 14.8 Consumer Staples 1.6 1.6 6.4 Financial Services 30.6 30.7 20.3 Health Care 1.9 1.9 14.2 Integrated Oils 10.4 10.4 3.5 Other Energy 3.1 3.1 2.1 Materials & Processing 5.4 5.4 3.3 Producer Durables 4.7 4.7 3.4 Technology 6.9 6.9 16.6 Utilities 16.1 16.1 8.1 Other 3.9 3.8 5.3 - ---------------------------------------------------------------- *S&P 500/Barra Value Index. 8 FUND PROFILE AS OF DECEMBER 31, 2001 FOR TOTAL STOCK MARKET INDEX FUND This Profile provides a snapshot of the fund's characteristics, compared where appropriate to its unmanaged target index. Key terms are defined on page 10. - ------------------------------------------------------------ PORTFOLIO CHARACTERISTICS WILSHIRE FUND 5000 - ------------------------------------------------------------ Number of Stocks 3,424 6,054 Median Market Cap $33.4B $33.4B Price/Earnings Ratio 30.7x 30.7x Price/Book Ratio 3.3x 3.3x Yield 1.3% Investor Shares 1.1% -- Admiral Shares 1.2% -- Institutional Shares 1.2% -- VIPER Shares 1.2% -- Return on Equity 22.6% 22.6% Earnings Growth Rate 14.5% 14.5% Foreign Holdings 0.0% 0.0% Turnover Rate 7% -- Expense Ratio Investor Shares 0.20% -- Admiral Shares 0.15% -- Institutional Shares 0.08% -- VIPER Shares 0.15%* -- Cash Investments 0.1% -- - ------------------------------------------------------------ - --------------------------------------------------- TEN LARGEST HOLDINGS (% OF TOTAL NET ASSETS) General Electric Co. 3.1% (conglomerate) Microsoft Corp. 2.8 (software) Exxon Mobil Corp. 2.1 (oil) Citigroup, Inc. 2.0 (financial services) Wal-Mart Stores, Inc. 2.0 (retail) Pfizer, Inc. 1.9 (pharmaceuticals) Intel Corp. 1.6 (computer hardware) International Business Machines Corp. 1.6 (computer technology) American International Group, Inc. 1.6 (insurance) Johnson & Johnson 1.4 (pharmaceuticals) - --------------------------------------------------- Top Ten 20.1% - --------------------------------------------------- - --------------------------------------- VOLATILITY MEASURES WILSHIRE FUND 5000 - --------------------------------------- R-Squared 1.00 1.00 Beta 0.99 1.00 - --------------------------------------- - --------------------------------- INVESTMENT FOCUS MARKET CAP LARGE STYLE BLEND - --------------------------------- - -------------------------------------------------------- SECTOR DIVERSIFICATION (% OF COMMON STOCKS) WILSHIRE FUND 5000 - -------------------------------------------------------- Auto & Transportation 2.0% 2.0% Consumer Discretionary 14.8 14.8 Consumer Staples 6.4 6.4 Financial Services 20.3 20.3 Health Care 14.2 14.2 Integrated Oils 3.5 3.5 Other Energy 2.1 2.1 Materials & Processing 3.3 3.3 Producer Durables 3.4 3.4 Technology 16.6 16.6 Utilities 8.1 8.1 Other 5.3 5.3 - -------------------------------------------------------- VISIT OUR WEBSITE WWW.VANGUARD.COM FOR REGULARLY UPDATED FUND INFORMATION. *Annualized. 9 GLOSSARY OF INVESTMENT TERMS BETA. A measure of the magnitude of a fund's past share-price fluctuations in relation to the ups and downs of the fund's target index benchmark and an overall market index. Each index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 would have seen its share price rise or fall by 12% when the index rose or fell by 10%. - -------------------------------------------------------------------------------- CASH INVESTMENTS. The percentage of a fund's net assets invested in "cash equivalents"--highly liquid, short-term, interest-bearing securities. This figure does not include cash invested in futures contracts to simulate stock investment. - -------------------------------------------------------------------------------- EARNINGS GROWTH RATE. The average annual rate of growth in earnings over the past five years for the stocks now in a fund. - -------------------------------------------------------------------------------- EXPENSE RATIO. The percentage of a fund's average net assets used to pay its annual administrative and advisory expenses. These expenses directly reduce returns to investors. - -------------------------------------------------------------------------------- FOREIGN HOLDINGS. The percentage of a fund's equity assets represented by stocks or American Depositary Receipts of companies based outside the United States. - -------------------------------------------------------------------------------- MEDIAN MARKET CAP. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund's stocks, weighted by the proportion of the fund's assets invested in each stock. Stocks representing half of the fund's assets have market capitalizations above the median, and the rest are below it. - -------------------------------------------------------------------------------- PRICE/BOOK RATIO. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds. - -------------------------------------------------------------------------------- PRICE/EARNINGS RATIO. The ratio of a stock's current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company's future growth. - -------------------------------------------------------------------------------- R-SQUARED. A measure of how much of a fund's past returns can be explained by the returns from the market in general, as measured by the fund's target index benchmark and by an overall market index. If a fund's total returns were precisely synchronized with an index's returns, its R-squared would be 1.00. If the fund's returns bore no relationship to the index's returns, its R-squared would be 0. - -------------------------------------------------------------------------------- RETURN ON EQUITY. The annual average rate of return generated by a company during the past five years for each dollar of shareholder's equity (net income divided by shareholder's equity). For a fund, the weighted average return on equity for the companies whose stocks it holds. - -------------------------------------------------------------------------------- TURNOVER RATE. An indication of the fund's trading activity. Funds with high turnover rates incur higher transaction costs and are more likely to distribute capital gains (which are taxable to investors). - -------------------------------------------------------------------------------- YIELD. A snapshot of a fund's income from interest and dividends. The yield, expressed as a percentage of the fund's net asset value, is based on income earned over the past 30 days and is annualized, or projected forward for the coming year. The index yield is based on the current annualized rate of dividends paid on stocks in the index. - -------------------------------------------------------------------------------- 10 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2001 FOR GROWTH INDEX FUND All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE NOVEMBER 2, 1992-DECEMBER 31, 2001 GROWTH AVERAGE S&P 500/ INDEX FUND LARGE-CAP BARRA GROWTH WILSHIRE INVESTOR SHARES** GROWTH FUND+ FUND INDEX 5000 INDEX 11/2/1992 10000 10000 10000 10000 199212 10319 10384 10348 10517 199303 10257 10502 10297 10965 199306 10043 10563 10084 11047 199309 10030 11112 10080 11495 199312 10466 11347 10521 11704 199403 9999 10924 10067 11267 199406 9986 10599 10058 11179 199409 10701 11237 10776 11787 199412 10763 11099 10850 11696 199503 11809 11934 11916 12752 199506 13029 13295 13148 13943 199509 14064 14474 14191 15217 199512 14859 14735 14988 15960 199603 15496 15530 15637 16856 199606 16557 16315 16732 17599 199609 17138 16936 17322 18097 199612 18387 17761 18580 19345 199703 19037 17644 19244 19470 199706 22888 20839 23147 22758 199709 24222 22791 24506 24979 199712 25069 22733 25367 25398 199803 29131 26148 29492 28766 199806 30825 27605 31219 29326 199809 28601 24641 28958 25799 199812 35649 31384 36061 31349 199903 38111 34055 38543 32532 199906 39597 35213 40020 35071 199909 38202 33970 38622 32752 199912 45902 43339 46247 38734 200003 47751 47024 48148 40213 200006 47077 44492 47442 38410 200009 42959 44274 43273 38473 200012 35708 36296 36037 34499 200103 29459 29347 29761 30242 200106 31729 30828 32057 32502 200109 27522 24895 27824 27335 200112 31141 27966 31448 30703 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 -------------------------------- FINAL VALUE ONE FIVE SINCE OF A $10,000 YEAR YEARS INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Growth Index Fund Investor Shares** -12.93% 11.08% 13.20% $31,141 Average Large-Cap Growth FundY -22.95 9.50 11.88 27,966 S&P 500/Barra Growth Index -12.73 11.10 13.32 31,448 Wilshire 5000 Index -10.96 9.69 13.03 30,703 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION* INVESTMENT GROWTH INDEX FUND ADMIRAL SHARES -12.88% -17.44% $201,270 S&P 500/Barra Growth Index -12.73 -17.21 201,903 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000,000 YEAR INCEPTION* INVESTMENT Growth Index Fund Institutional Shares -12.82% 1.53% $10,568,786 S&P 500/Barra Growth Index -12.73 1.40 10,517,466 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) NOVEMBER 2, 1992-DECEMBER 31, 2001 GROWTH S&P 500/ INDEX FUND BARRA GROWTH INVESTOR SHARES** FUND INDEX 1992 3.2 3.5 1993 1.5 1.7 1994 2.9 3.1 1995 38.1 38.1 1996 23.7 24.0 1997 36.3 36.5 1998 42.2 42.2 1999 28.8 28.2 2000 -22.2 -22.1 2001 -12.9 -12.7 - -------------------------------------------------------------------------------- * Inception dates are: for Investor Shares, November 2, 1992; for Admiral Shares, November 13, 2000; for Institutional Shares, May 14, 1998. ** Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. +Derived from data provided by Lipper Inc. Note: See Financial Highlights tables on pages 27 and 28 for dividend and capital gains information. 11 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2001 FOR VALUE INDEX FUND All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE NOVEMBER 2, 1992-DECEMBER 31, 2001 VALUE INDEX AVERAGE S&P 500/ FUND INVESTOR LARGE-CAP BARRA VALUE WILSHIRE SHARES VALUE FUND+ INDEX 5000 INDEx 11/2/1992 10000 10000 10000 10000 199212 10370 10333 10381 10517 199303 11317 10860 11340 10965 199306 11632 10952 11657 11047 199309 12224 11356 12260 11495 199312 12273 11622 12311 11704 199403 11866 11210 11909 11267 199406 11981 11218 12019 11179 199409 12280 11673 12327 11787 199412 12183 11595 12233 11696 199503 13357 12565 13412 12752 199506 14514 13631 14580 13943 199509 15679 14604 15740 15217 199512 16683 15421 16759 15960 199603 17740 16227 17830 16856 199606 18108 16761 18195 17599 199609 18571 17252 18676 18097 199612 20330 18690 20445 19345 199703 20671 19013 20805 19470 199706 23662 21860 23816 22758 199709 25819 23561 25999 24979 199712 26382 23955 26575 25398 199803 29420 26728 29646 28766 199806 29575 26918 29799 29326 199809 25741 24094 25951 25799 199812 30245 28554 30475 31349 199903 31087 29276 31343 32532 199906 34430 31602 34728 35071 199909 31248 29076 31524 32752 199912 34047 31760 34352 38734 200003 34104 32019 34433 40213 200006 32643 31308 32953 38410 200009 35515 32158 35858 38473 200012 36117 32180 36441 34499 200103 33742 30770 34063 30242 200106 35230 32523 35564 32502 200109 29501 28196 29801 27335 200112 31828 30030 32174 30703 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 --------------------------------- FINAL VALUE ONE FIVE SINCE OF A $10,000 YEAR YEARS INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Value Index Fund Investor Shares** -11.88% 9.38% 13.47% $31,828 Average Large-Cap Value FundY -6.68 9.95 12.75 30,030 S&P 500/Barra Value Index -11.71 9.49 13.61 32,174 Wilshire 5000 Index -10.96 9.69 13.03 30,703 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Value Index Fund Admiral Shares -11.83% -8.07% $227,309 S&P 500/Barra Value Index -11.71 -8.01 227,480 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Value Index Fund Institutional Shares -11.77% 1.76% $10,629,811 S&P 500/Barra Value Index -11.71 1.75 10,624,637 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) NOVEMBER 2, 1992-DECEMBER 31, 2001 VALUE INDEX S&P 500/ FUND INVESTOR BARRA VALUE SHARES INDEX 1992 3.7 3.8 1993 18.3 18.6 1994 -0.7 -0.6 1995 36.9 37.0 1996 21.9 22.0 1997 29.8 30.0 1998 14.6 14.7 1999 12.6 12.7 2000 6.1 6.1 2001 -11.9 -11.7 - -------------------------------------------------------------------------------- * Inception dates are: for Investor Shares, November 2, 1992; for Admiral Shares, November 13, 2000; for Institutional Shares, July 2, 1998. ** Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. +Derived from data provided by Lipper Inc. Note: See Financial Highlights tables on pages 29 and 30 for dividend and capital gains information. 12 PERFORMANCE SUMMARY AS OF DECEMBER 31, 2001 FOR TOTAL STOCK MARKET INDEX FUND All of the data on this page represent past performance, which cannot be used to predict future returns that may be achieved by the fund. Note, too, that both share price and return can fluctuate widely. An investor's shares, when redeemed, could be worth more or less than their original cost. - -------------------------------------------------------------------------------- CUMULATIVE PERFORMANCE APRIL 27, 1992-DECEMBER 31, 2001 TOTAL STOCK MARKET INDEX AVERAGE FUND INVESTOR MULTI-CAP WILSHIRE SHARES** CORE FUND+ 5000 INDEX 4/27/1992 10000 10000 10000 199206 10010 9976 10007 199209 10309 10259 10314 199212 11041 11059 11065 199303 11480 11405 11536 199306 11563 11487 11623 199309 11986 11908 12093 199312 12214 12243 12313 199403 11761 11880 11854 199406 11655 11709 11762 199409 12310 12221 12401 199412 12193 12048 12306 199503 13309 12997 13417 199506 14538 14148 14669 199509 15837 15187 16010 199512 16557 15797 16791 199603 17470 16736 17734 199606 18212 17425 18516 199609 18723 17947 19040 199612 20027 19081 20353 199703 20158 19142 20484 199706 23546 22025 23944 199709 25842 24124 26280 199712 26235 24041 26721 199803 29717 27142 30265 199806 30265 27397 30854 199809 26613 23622 27143 199812 32338 28380 32982 199903 33536 29129 34227 199906 36179 31720 36898 199909 33855 29596 34458 199912 40039 34751 40752 200003 41576 36559 42308 200006 39751 35380 40411 200009 39860 35983 40478 200012 35805 33723 36296 200103 31412 29138 31818 200106 33759 30876 34195 200109 28383 26440 28759 200112 31878 30050 32333 - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 --------------------------------- FINAL VALUE ONE FIVE SINCE OF A $10,000 YEAR YEARS INCEPTION* INVESTMENT Total Stock Market Index Fund Investor Shares** -10.97% 9.74% 12.73% $31,878 Average Multi-Cap Core Fund+ -10.89 9.51 12.04 30,050 Wilshire 5000 Index -10.96 9.69 12.89 32,333 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $250,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Total Stock Market Index Fund Admiral Shares -10.89% -11.73% $217,091 Wilshire 5000 Index -10.96 -11.83 216,817 - -------------------------------------------------------------------------------- FINAL VALUE ONE SINCE OF A $10,000,000 YEAR INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Total Stock Market Index Fund Institutional Shares -10.85% 6.48% $13,253,666 Wilshire 5000 Index -10.96 6.31 13,156,136 - -------------------------------------------------------------------------------- FINAL VALUE RETURN SINCE OF A $10,000 INCEPTION* INVESTMENT - -------------------------------------------------------------------------------- Total Stock Market Index Fund VIPER Shares Market Price -10.16% $8,984 Total Stock Market Index Fund VIPER Shares Net Asset Value -9.82 9,018 Wilshire 5000 Index -9.84 9,016 - -------------------------------------------------------------------------------- * Inception dates are: for Investor Shares, April 27, 1992; for Admiral Shares, November 13, 2000; for Institutional Shares, July 7, 1997; for VIPER Shares, May 24, 2001. ** Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. +Derived from data provided by Lipper Inc. Note: See Financial Highlights tables on pages 30 through 32 for dividend and capital gains information. 13 PERFORMANCE SUMMARY (CONTINUED) - -------------------------------------------------------------------------------- TOTAL INVESTMENT RETURNS (%) APRIL 27, 1992-DECEMBER 31, 2001 TOTAL STOCK MARKET INDEX FUND INVESTOR WILSHIRE SHARES** 5000 INDEX 1992 10.4 10.7 1993 10.6 11.3 1994 -0.2 -0.1 1995 35.8 36.4 1996 21.0 21.2 1997 31.0 31.3 1998 23.3 23.4 1999 23.8 23.6 2000 -10.6 -10.9 2001 -11.0 -11.0 - -------------------------------------------------------------------------------- 14 YOUR FUND'S AFTER-TAX RETURNS This table presents returns for each fund both before and after taxes. The after-tax returns are shown in two ways: (1) assuming that an investor owned the fund during the entire period and paid taxes on the fund's distributions, and (2) assuming that an investor paid taxes on the fund's distributions and sold all shares at the end of each period. Calculations are based on the highest individual federal income tax and capital gains tax rates in effect at the times of the distributions and the hypothetical sales. State and local taxes were not considered. (In the examples that assume all fund shares were sold, a negative pre-tax total return translates into a higher after-tax return. This is because the calculation assumes that the investor received a tax deduction for the loss incurred on the sale.) Please note that your actual after-tax returns will depend on your tax situation and may differ from those shown. Also note that if you own the fund in a tax-deferred account, such as an individual retirement account or a 401(k) plan, this information does not apply to you. Such accounts are not subject to current taxes. Finally, keep in mind that a fund's performance--whether before or after taxes--does not indicate how it will perform in the future. - -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURNS PERIODS ENDED DECEMBER 31, 2001 SINCE ONE YEAR FIVE YEARS INCEPTION* - -------------------------------------------------------------------------------- GROWTH INDEX FUND INVESTOR SHARES** Returns Before Taxes -12.93% 11.08% 13.20% Returns After Taxes on Distributions -13.18 10.52 12.49 Returns After Taxes on Distributions and Sale of Fund Shares -7.88 9.00 10.99 - -------------------------------------------------------------------------------- VALUE INDEX FUND INVESTOR SHARES** Returns Before Taxes -11.88% 9.38% 13.47% Returns After Taxes on Distributions -13.43 7.19 11.42 Returns After Taxes on Distributions and Sale of Fund Shares -6.57 6.97 10.60 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES** Returns Before Taxes -10.97% 9.74% 12.73% Returns After Taxes on Distributions -11.38 9.02 11.82 Returns After Taxes on Distributions and Sale of Fund Shares -6.69 7.72 10.44 - -------------------------------------------------------------------------------- * Inception dates are November 2, 1992, for the Growth and Value Index Fund Investor Shares and April 27, 1992, for the Total Stock Market Index Fund Investor Shares. ** Total return figures do not reflect the $10 annual account maintenance fee applied on balances under $10,000. 15 FINANCIAL STATEMENTS DECEMBER 31, 2001 The Statement of Net Assets--an integral part of the Financial Statements for Vanguard Total Stock Market Index Fund--is included as an insert to this report. The Growth Index and Value Index Funds' Statements of Net Assets are provided below. STATEMENT OF NET ASSETS This Statement provides a detailed list of each fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. - -------------------------------------------------------------------------------- MARKET VALUE* GROWTH INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) - -------------------------------------------------------------------------------- General Electric Co. $ 19,628,342 $ 786,704 * Microsoft Corp. 10,654,763 705,878 Wal-Mart Stores, Inc. 8,812,509 507,160 Pfizer, Inc. 12,430,057 495,338 Intel Corp. 13,278,512 417,609 International Business Machines Corp. 3,408,035 412,236 Johnson & Johnson 6,064,925 358,437 Merck & Co., Inc. 4,497,563 264,457 * Cisco Systems, Inc. 14,517,213 262,907 Home Depot, Inc. 4,633,235 236,341 The Coca-Cola Co. 4,921,061 232,028 Procter & Gamble Co. 2,561,730 202,710 Philip Morris Cos., Inc. 4,286,390 196,531 Bristol-Myers Squibb Co. 3,825,592 195,105 Eli Lilly & Co. 2,222,729 174,573 Abbott Laboratories 3,069,570 171,129 PepsiCo, Inc. 3,459,319 168,434 American Home Products Corp. 2,608,397 160,051 Fannie Mae 1,975,210 157,029 * Oracle Corp. 11,006,222 151,996 * Dell Computer Corp. 5,170,148 140,525 Medtronic, Inc. 2,393,657 122,579 * Amgen, Inc. 2,068,319 116,736 Pharmacia Corp. 2,549,446 108,734 Schering-Plough Corp. 2,894,770 103,662 Texas Instruments, Inc. 3,424,900 95,897 Minnesota Mining & Manufacturing Co. 775,270 91,645 Anheuser-Busch Cos., Inc. 1,748,370 79,044 * Sun Microsystems, Inc. 6,415,125 78,906 * QUALCOMM, Inc. 1,510,240 76,267 Target Corp. 1,785,260 73,285 Automatic Data Processing, Inc. 1,219,364 71,821 Lowe's Cos., Inc. 1,530,960 71,052 Fifth Third Bancorp 1,141,600 70,014 Gillette Co. 2,086,926 69,703 Walgreen Co. 2,017,282 67,902 Unilever NV ADR 1,130,320 65,118 * Applied Materials, Inc. 1,612,800 64,673 Electronic Data Systems Corp. 937,460 64,263 Colgate-Palmolive Co. 1,091,009 63,006 Baxter International, Inc. 1,167,440 62,610 Kimberly-Clark Corp. 1,038,498 62,102 The Bank of New York Co., Inc. 1,456,086 59,408 First Data Corp. 754,382 59,181 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * EMC Corp. $ 4,380,571 $ 58,875 Marsh & McLennan Cos., Inc. 542,981 58,343 Cardinal Health, Inc. 891,577 57,649 * Sprint PCS 1,948,900 47,573 * Kohl's Corp. 662,390 46,659 UnitedHealth Group Inc. 616,560 43,634 Charles Schwab Corp. 2,702,404 41,806 General Mills, Inc. 720,341 37,465 * Veritas Software Corp. 791,957 35,503 Mellon Financial Corp. 925,014 34,799 Sysco Corp. 1,317,945 34,557 Sara Lee Corp. 1,548,767 34,429 State Street Corp. 643,298 33,612 * Maxim Integrated Products, Inc. 638,047 33,504 * The Kroger Co. 1,588,365 33,149 Omnicom Group Inc. 367,510 32,837 * Concord EFS, Inc. 995,300 32,626 Harley-Davidson, Inc. 598,535 32,506 * Analog Devices, Inc. 715,348 31,754 * Best Buy Co., Inc. 416,900 31,051 * Guidant Corp. 602,540 30,006 * Immunex Corp. 1,076,500 29,830 * Forest Laboratories, Inc. 351,860 28,835 H.J. Heinz Co. 692,320 28,468 Northern Trust Corp. 438,900 26,431 USA Education Inc. 310,003 26,046 Paychex, Inc. 739,499 25,772 * Xilinx, Inc. 659,805 25,765 * Siebel Systems, Inc. 913,490 25,559 * Genzyme Corp. 425,400 25,464 Linear Technology Corp. 625,415 24,416 Kellogg Co. 804,552 24,217 Campbell Soup Co. 809,928 24,193 * PeopleSoft, Inc. 598,300 24,052 The McGraw-Hill Cos., Inc. 382,200 23,307 Wrigley, (Wm.) Jr. Co. 445,268 22,873 Stryker Corp. 388,710 22,689 Interpublic Group of Cos., Inc. 746,604 22,055 Avon Products, Inc. 466,993 21,715 TJX Cos., Inc. 539,200 21,493 * King Pharmaceuticals, Inc. 485,594 20,458 * Yahoo!, Inc. 1,125,145 19,960 * MedImmune Inc. 422,724 19,593 Allergan, Inc. 259,330 19,463 * Bed Bath & Beyond, Inc. 572,901 19,421 * Boston Scientific Corp. 797,400 19,233 * NVIDIA Corp. 285,800 19,120 The Clorox Co. 459,760 18,184 Hershey Foods Corp. 268,055 18,147 * KLA-Tencor Corp. 366,100 18,144 Pitney Bowes, Inc. 482,060 18,130 * Intuit, Inc. 419,211 17,934 * NEXTEL Communications, Inc. 1,576,690 17,281 * Univision Communications Inc. 415,300 16,803 * Biogen, Inc. 292,190 16,757 Applera Corp.-Applied Biosystems Group 419,055 16,457 Biomet, Inc. 532,496 16,454 * Chiron Corp. 373,600 16,379 H & R Block, Inc. 362,770 16,216 * Altera Corp. 760,855 16,145 Cintas Corp. 335,150 16,087 * Fiserv, Inc. 371,300 15,713 * AutoZone Inc. 213,100 15,301 * Lexmark International, Inc. 257,035 15,165 Mattel, Inc. 853,430 14,679 Adobe Systems, Inc. 471,510 14,640 * Starbucks Corp. 757,916 14,438 * Network Appliance, Inc. 658,450 14,400 * Tricon Global Restaurants, Inc. 288,400 14,189 * St. Jude Medical, Inc. 172,130 13,366 New York Times Co. Class A 299,750 12,964 * Convergys Corp. 340,250 12,756 Moody's Corp. 308,415 12,293 Avery Dennison Corp. 217,280 12,283 * International Game Technology 171,930 11,743 * Zimmer Holdings, Inc. 383,212 11,703 UST, Inc. 327,096 11,448 IMS Health, Inc. 584,279 11,399 RadioShack Corp. 354,415 10,668 Family Dollar Stores, Inc. 340,840 10,218 Ecolab, Inc. 252,789 10,175 * Edison International 644,200 9,727 * Robert Half International, Inc. 346,730 9,258 Dow Jones & Co., Inc. 167,915 9,190 Tiffany & Co. 288,810 9,089 * Waters Corp. 223,200 8,649 * Citrix Systems, Inc. 373,078 8,454 * QLogic Corp. 184,150 8,197 The Stanley Works 168,800 7,861 * PMC Sierra Inc. 328,200 6,978 Equifax, Inc. 286,455 6,918 * Avaya Inc. 567,280 6,892 * Sealed Air Corp. 165,500 6,756 C.R. Bard, Inc. 101,000 6,515 Millipore Corp. 94,940 5,763 International Flavors & Fragrances, Inc. 188,260 5,593 * Mercury Interactive Corp. 164,560 5,592 Deluxe Corp. 131,958 5,487 Maytag Corp. 152,700 4,738 * Parametric Technology Corp. 522,300 4,079 Tupperware Corp. 115,585 2,225 * US Airways Group, Inc. 135,550 859 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $8,838,684) $ 10,265,030 - -------------------------------------------------------------------------------- 17 - -------------------------------------------------------------------------------- FACE MARKET AMOUNT VALUE* GROWTH INDEX FUND (000) (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (0.4%)(1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (2) 2.30%, 1/9/2002 $ 1,000 $ 1,000 REPURCHASE AGREEMENT Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F 37,039 37,039 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $38,038) 38,039 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS ( 100.3%) (Cost $8,876,722) 10,303,069 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.3%) - -------------------------------------------------------------------------------- Other Assets--Note B 70,411 Liabilities--Note F (101,682) ---------------- (31,271) ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 10,271,798 ================================================================================ * See Note A in Notes to Financial Statements. * Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets. See Note E in Notes to Financial Statements. (2) Security segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital $ 11,150,337 Overdistributed Net Investment Income (7,697) Accumulated Net Realized Losses--Note D (2,297,256) Unrealized Appreciation--Note E Investment Securities 1,426,347 Futures Contracts 67 - -------------------------------------------------------------------------------- NET ASSETS $ 10,271,798 ================================================================================ Investor Shares--Net Assets Applicable to 319,693,093 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 8,444,763 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 26.42 ================================================================================ Admiral Shares--Net Assets Applicable to 34,299,080 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 906,020 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 26.42 ================================================================================ Institutional Shares--Net Assets Applicable to 34,866,381 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 921,015 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 26.42 ================================================================================ 18 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.9%)(1) - -------------------------------------------------------------------------------- Exxon Mobil Corp. $ 5,790,662 $ 227,573 Citigroup, Inc. 4,355,171 219,849 American International Group, Inc. 2,211,527 175,595 * AOL Time Warner Inc. 3,747,100 120,282 SBC Communications Inc. 2,845,500 111,458 Verizon Communications 2,297,736 109,051 Tyco International Ltd. 1,688,800 99,470 Royal Dutch Petroleum Co. ADR 1,797,889 88,133 Bank of America Corp. 1,331,759 83,834 ChevronTexaco Corp. 903,010 80,919 * Viacom Inc. Class B 1,501,034 66,271 Wells Fargo Co. 1,434,868 62,345 J.P. Morgan Chase & Co. 1,670,032 60,706 BellSouth Corp. 1,588,694 60,609 AT&T Corp. 2,994,658 54,323 Morgan Stanley Dean Witter & Co. 928,588 51,945 American Express Co. 1,129,700 40,319 Bank One Corp. 987,225 38,551 Freddie Mac 588,516 38,489 Merrill Lynch & Co., Inc. 716,526 37,345 E.I. du Pont de Nemours & Co. 867,964 36,897 Wachovia Corp. 1,152,238 36,134 The Walt Disney Co. 1,726,044 35,764 * WorldCom Inc.- WorldCom Group 2,494,850 35,127 U.S. Bancorp 1,651,688 34,570 Hewlett-Packard Co. 1,642,480 33,737 FleetBoston Financial Corp. 884,712 32,292 * AT&T Wireless Services Inc. 2,142,247 30,784 McDonald's Corp. 1,088,245 28,806 * Comcast Corp.- Special Class A 799,222 28,772 Motorola, Inc. 1,884,319 28,302 The Boeing Co. 708,759 27,486 Schlumberger Ltd. 487,240 26,774 Duke Energy Corp. 656,858 25,788 Dow Chemical Co. 763,196 25,781 * Clear Channel Communications, Inc. 505,804 25,750 United Technologies Corp. 396,700 25,639 Alcoa Inc. 718,717 25,550 MBNA Corp. 720,811 25,373 Washington Mutual, Inc. 741,183 24,237 Ford Motor Co. 1,532,445 24,090 Honeywell International Inc. 688,105 23,272 General Motors Corp. 470,107 22,847 Household International, Inc. 387,597 22,457 Emerson Electric Co. 362,449 20,696 Allstate Corp. 603,364 20,333 Nortel Networks Corp. 2,710,687 20,330 Qwest Communications International Inc. 1,409,943 19,922 Phillips Petroleum Co. 322,925 19,459 Metropolitan Life Insurance Co. 613,517 19,436 El Paso Corp. 432,178 19,279 Lucent Technologies, Inc. 2,891,249 18,186 * Safeway, Inc. 424,979 17,743 Illinois Tool Works, Inc. 258,015 17,473 Lockheed Martin Corp. 373,047 17,410 * Costco Wholesale Corp. 382,294 16,966 Waste Management, Inc. 531,622 16,964 Computer Associates International, Inc. 487,547 16,815 HCA Inc. 435,900 16,800 International Paper Co. 408,159 16,469 * Cendant Corp. 831,104 16,298 ALLTEL Corp. 262,898 16,229 * Tenet Healthcare Corp. 275,626 16,185 * Micron Technology, Inc. 507,016 15,717 SunTrust Banks, Inc. 244,543 15,333 Caterpillar, Inc. 290,671 15,188 Sprint Corp. 751,169 15,083 Gannett Co., Inc. 224,247 15,076 National City Corp. 513,089 15,003 Conoco Inc. 529,633 14,989 Southern Co. 588,644 14,922 Compaq Computer Corp. 1,433,125 13,987 Carnival Corp. 496,474 13,941 BB&T Corp. 383,587 13,851 General Dynamics Corp. 170,847 13,606 PNC Financial Services Group 240,487 13,515 Lehman Brothers Holdings, Inc. 201,700 13,474 Dominion Resources, Inc. 222,674 13,383 * FedEx Corp. 252,451 13,097 The Hartford Financial Services Group Inc. 207,412 13,032 Sears, Roebuck & Co. 273,179 13,014 Exelon Corp. 271,800 13,014 NIKE, Inc. Class B 227,404 12,789 Union Pacific Corp. 210,316 11,988 Southwest Airlines Co. 648,001 11,975 Anadarko Petroleum Corp. 210,592 11,972 American Electric Power Co., Inc. 272,812 11,876 CIGNA Corp. 122,462 11,346 Williams Cos., Inc. 435,955 11,126 * Agilent Technologies, Inc. 389,951 11,118 AFLAC, Inc. 441,878 10,853 Albertson's, Inc. 343,780 10,826 ConAgra Foods, Inc. 454,814 10,811 Raytheon Company 330,972 10,747 TXU Corp. 224,389 10,580 19 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Equity Office Properties Trust REIT $ 350,800 $ 10,552 John Hancock Financial Services, Inc. 252,844 10,442 Baker Hughes, Inc. 284,299 10,368 XL Capital Ltd. Class A 112,400 10,269 The Gap, Inc. 730,000 10,176 The Chubb Corp. 143,862 9,926 Weyerhaeuser Co. 183,064 9,900 Capital One Financial Corp. 181,800 9,808 CVS Corp. 330,800 9,792 Alcan Inc. 271,610 9,759 * JDS Uniphase Corp. 1,121,591 9,735 Masco Corp. 388,413 9,516 Tribune Co. 251,956 9,431 Northrop Grumman Corp. 93,482 9,424 May Department Stores Co. 253,283 9,366 Burlington Northern Santa Fe Corp. 327,329 9,339 Progressive Corp. of Ohio 62,085 9,269 Transocean Sedco Forex Inc. 269,793 9,124 * Broadcom Corp. 222,000 9,073 McKesson Corp. 241,847 9,045 Air Products & Chemicals, Inc. 192,432 9,027 Loews Corp. 162,256 8,986 FirstEnergy Corp. 251,886 8,811 * Sanmina-SCI Corp. 440,100 8,758 KeyCorp 358,380 8,723 Deere & Co. 198,709 8,676 Comerica, Inc. 150,715 8,636 FPL Group, Inc. 148,818 8,393 Occidental Petroleum Corp. 316,151 8,387 Progress Energy, Inc. 185,172 8,338 Marriott International, Inc. Class A 203,959 8,291 Xcel Energy, Inc. 292,436 8,112 Aon Corp. 227,816 8,092 Archer-Daniels-Midland Co. 559,646 8,031 USX-Marathon Group 261,864 7,856 Golden West Financial Corp. 133,402 7,851 * Solectron Corp. 694,371 7,833 Lincoln National Corp. 160,553 7,798 Franklin Resources Corp. 221,037 7,796 St. Paul Cos., Inc. 175,558 7,719 Dynegy, Inc. 297,023 7,574 Praxair, Inc. 136,158 7,523 Unocal Corp. 206,462 7,447 Public Service Enterprise Group, Inc. 175,840 7,419 PPG Industries, Inc. 142,646 7,378 * AES Corp. 451,061 7,375 Entergy Corp. 187,089 7,317 * Staples, Inc. 390,627 7,305 Danaher Corp. 120,881 7,290 Becton, Dickinson & Co. 218,799 7,253 Consolidated Edison Inc. 179,613 7,249 Eastman Kodak Co. 246,232 7,247 Barrick Gold Corp. 453,560 7,234 SouthTrust Corp. 289,970 7,154 Corning, Inc. 800,300 7,139 Coca-Cola Enterprises, Inc. 376,374 7,129 * Computer Sciences Corp. 144,335 7,070 MBIA, Inc. 125,528 6,732 Reliant Energy, Inc. 252,362 6,693 * Federated Department Stores, Inc. 163,202 6,675 * Apple Computer, Inc. 296,819 6,500 Delphi Automotive Systems Corp. 474,687 6,484 Rohm & Haas Co. 186,456 6,457 Burlington Resources, Inc. 169,894 6,378 Dover Corp. 171,485 6,357 Xerox Corp. 610,052 6,357 CSX Corp. 180,572 6,329 * PG&E Corp. 328,123 6,313 * WellPoint Health Networks Inc. Class A 53,905 6,299 Newell Rubbermaid, Inc. 225,943 6,229 Synovus Financial Corp. 246,400 6,172 J.C. Penney Co., Inc. 223,550 6,013 Norfolk Southern Corp. 326,649 5,987 Johnson Controls, Inc. 73,892 5,967 Ingersoll-Rand Co. 142,345 5,951 Jefferson-Pilot Corp. 127,497 5,899 AmSouth Bancorp 308,782 5,836 Apache Corp. 116,161 5,794 DTE Energy Co. 137,847 5,781 Regions Financial Corp. 192,750 5,771 The Pepsi Bottling Group, Inc. 240,500 5,652 MGIC Investment Corp. 90,833 5,606 AmerisourceBergen Corp. 87,000 5,529 UnumProvident Corp. 205,012 5,435 * Mirant Corp. 338,393 5,421 Equity Residential Properties Trust REIT 187,800 5,392 Genuine Parts Co. 146,762 5,386 Georgia Pacific Group 194,670 5,375 The Limited, Inc. 363,111 5,345 Kinder Morgan, Inc. 94,584 5,267 Union Planters Corp. 116,115 5,240 Cincinnati Financial Corp. 136,860 5,221 * Tellabs, Inc. 346,800 5,188 AMBAC Financial Group Inc. 89,187 5,160 Charter One Financial 190,003 5,159 Molex, Inc. 165,742 5,130 Stilwell Financial, Inc. 187,200 5,096 20 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc. $ 167,558 $ 5,002 Fortune Brands, Inc. 125,910 4,985 Textron, Inc. 119,424 4,951 * HealthSouth Corp. 332,302 4,925 Ameren Corp. 116,314 4,920 * LSI Logic Corp. 310,816 4,905 Willamette Industries, Inc. 93,130 4,854 * Office Depot, Inc. 260,104 4,822 * Novellus Systems, Inc. 121,416 4,790 * Sabre Holdings Corp. 113,100 4,790 Halliburton Co. 363,100 4,757 Amerada Hess Corp. 74,993 4,687 Bear Stearns Co., Inc. 79,744 4,676 Kerr-McGee Corp. 84,651 4,639 * Teradyne, Inc. 153,205 4,618 Knight Ridder 71,101 4,617 * National Semiconductor Corp. 148,661 4,577 * Advanced Micro Devices, Inc. 288,532 4,576 Circuit City Stores, Inc. 176,074 4,569 Parker Hannifin Corp. 99,289 4,558 Cinergy Corp. 134,733 4,504 Eaton Corp. 58,506 4,353 * Calpine Corp. 258,700 4,344 PPL Corp. 123,705 4,311 Sempra Energy 175,062 4,298 PACCAR, Inc. 65,010 4,266 Countrywide Credit Industries, Inc. 103,291 4,232 Dollar General Corp. 280,200 4,175 Whirlpool Corp. 56,513 4,144 Torchmark Corp. 104,977 4,129 Devon Energy Corp. 106,537 4,118 Vulcan Materials Co. 85,639 4,106 Zions Bancorp 77,742 4,088 * Nabors Industries, Inc. 119,016 4,086 KeySpan Corp. 117,477 4,071 NiSource, Inc. 174,647 4,027 * TMP Worldwide, Inc. 93,700 4,020 Aetna Inc. 121,102 3,995 * CIENA Corp. 277,000 3,964 TRW, Inc. 106,741 3,954 CenturyTel, Inc. 119,227 3,911 Allegheny Energy, Inc. 105,605 3,825 * Health Management Associates Class A 207,700 3,822 Leggett & Platt, Inc. 165,936 3,817 EOG Resources, Inc. 97,575 3,816 * Noble Drilling Corp. 111,712 3,803 W.W. Grainger, Inc. 79,057 3,795 * Jabil Circuit, Inc. 166,500 3,783 ITT Industries, Inc. 74,641 3,769 * Compuware Corp. 315,735 3,723 Constellation Energy Group 138,339 3,673 Huntington Bancshares Inc. 213,310 3,667 VF Corp. 93,685 3,655 PerkinElmer, Inc. 104,000 3,642 T. Rowe Price Group Inc. 104,804 3,640 Brown-Forman Corp. Class B 57,655 3,609 Sherwin-Williams Co. 130,414 3,586 * Thermo Electron Corp. 150,158 3,583 * Harrah's Entertainment, Inc. 94,793 3,508 * Comverse Technology, Inc. 156,700 3,505 Darden Restaurants Inc. 98,366 3,482 Nucor Corp. 65,685 3,479 * Toys R Us, Inc. 167,608 3,476 Hilton Hotels Corp. 311,815 3,405 SAFECO Corp. 108,468 3,379 * Unisys Corp. 269,403 3,378 * BMC Software, Inc. 206,168 3,375 The Goodyear Tire & Rubber Co. 137,710 3,279 Newmont Mining Corp. 166,446 3,181 Scientific-Atlanta, Inc. 132,000 3,160 * Conexant Systems, Inc. 216,400 3,108 TECO Energy, Inc. 117,800 3,091 * ADC Telecommunications, Inc. 670,391 3,084 Symbol Technologies, Inc. 193,900 3,079 Delta Air Lines, Inc. 104,599 3,061 Engelhard Corp. 110,176 3,050 Placer Dome, Inc. 278,792 3,042 Rockwell Collins 155,893 3,040 * NCR Corp. 82,453 3,039 Pinnacle West Capital Corp. 71,871 3,008 Centex Corp. 51,571 2,944 * Jones Apparel Group, Inc. 88,000 2,919 * AMR Corp. 131,129 2,907 R.R. Donnelley & Sons Co. 96,666 2,870 * Applied Micro Circuits Corp. 253,300 2,867 * Watson Pharmaceuticals, Inc. 89,852 2,820 Rockwell International Corp. 156,093 2,788 Cooper Industries, Inc. 79,058 2,761 CMS Energy Corp. 112,910 2,713 Ashland, Inc. 58,601 2,700 * Inco Ltd. 154,394 2,615 The Mead Corp. 84,342 2,605 Wendy's International, Inc. 88,769 2,589 Black & Decker Corp. 67,790 2,558 Eastman Chemical Co. 65,018 2,537 * Citizens Communications Co. 237,796 2,535 Fluor Corp. 67,600 2,528 SuperValu Inc. 113,162 2,503 Pall Corp. 103,724 2,496 Sunoco, Inc. 66,730 2,492 Westvaco Corp. 86,849 2,471 Sigma-Aldrich Corp. 62,309 2,456 21 - -------------------------------------------------------------------------------- MARKET VALUE* VALUE INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Niagara Mohawk Holdings Inc. $ 136,027 $ 2,412 * Pactiv Corp. 135,269 2,401 * American Power Conversion Corp. 166,000 2,400 Hasbro, Inc. 146,731 2,381 Temple-Inland Inc. 41,910 2,377 * Allied Waste Industries, Inc. 166,100 2,335 * Kmart Corp. 423,256 2,311 Nordstrom, Inc. 114,111 2,308 Goodrich Corp. 86,537 2,304 Pulte Homes, Inc. 49,991 2,233 Liz Claiborne, Inc. 44,623 2,220 * Gateway, Inc. 275,066 2,212 Bemis Co., Inc. 44,796 2,203 Phelps Dodge Corp. 66,809 2,165 Alberto-Culver Co. Class B 48,177 2,155 * Manor Care, Inc. 86,906 2,061 * Tektronix, Inc. 78,121 2,014 * Vitesse Semiconductor Corp. 161,800 2,011 Navistar International Corp. 50,408 1,991 * Palm, Inc. 482,300 1,871 Dana Corp. 126,137 1,751 Autodesk, Inc. 46,492 1,733 KB HOME 42,768 1,715 Bausch & Lomb, Inc. 45,497 1,713 Winn-Dixie Stores, Inc. 119,400 1,701 * Humana, Inc. 143,262 1,689 Boise Cascade Corp. 49,259 1,675 Visteon Corp. 110,700 1,665 Snap-On Inc. 49,200 1,656 Ball Corp. 23,273 1,645 Adolph Coors Co. Class B 30,672 1,638 * Quintiles Transnational Corp. 101,549 1,630 Brunswick Corp. 74,515 1,621 NICOR, Inc. 38,063 1,585 * Freeport-McMoRan Copper & Gold Inc. Class B 117,500 1,573 * Rowan Cos., Inc. 79,626 1,542 * Andrew Corp. 69,083 1,512 Meredith Corp. 41,907 1,494 * Novell, Inc. 307,529 1,412 USX-U.S. Steel Group 75,734 1,372 Cummins Inc. 35,113 1,353 * Reebok International Ltd. 49,976 1,324 * Conseco Inc. 292,696 1,305 Crane Co. 50,658 1,299 Allegheny Technologies Inc. 68,131 1,141 Ryder System, Inc. 51,518 1,141 Peoples Energy Corp. 30,033 1,139 Dillard's Inc. 71,029 1,136 Thomas & Betts Corp. 49,348 1,044 Great Lakes Chemical Corp. 42,583 1,034 Worthington Industries, Inc. 72,536 1,030 Big Lots Inc. 96,666 1,005 Cooper Tire & Rubber Co. 61,622 983 * Hercules, Inc. 92,179 922 Providian Financial Corp. 241,500 857 * Sapient Corp. 107,300 828 Louisiana-Pacific Corp. 88,703 749 American Greetings Corp. Class A 53,961 744 * Power-One, Inc. 67,000 697 * McDermott International, Inc. 52,396 643 * Freeport-McMoRan Copper & Gold, Inc. Class A 4,800 62 National Service Industries, Inc. 12,281 25 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $4,599,285) $ 4,464,181 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENT (0.0%)(1) - -------------------------------------------------------------------------------- Federal Home Loan Bank (2) 2.30%, 1/9/2002 (Cost $999) $ 1,000 1,000 TOTAL INVESTMENTS (99.9%) (Cost $4,600,284) 4,465,181 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (0.1%) - -------------------------------------------------------------------------------- Other Assets--Note B 23,263 Liabilities (18,788) ---------------- $ 4,475 ---------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 4,469,656 ================================================================================ * See Note A in Notes to Financial Statements. * Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 0.0%, respectively, of net assets. See Note E in Notes to Financial Statements. (2) Security segregated as initial margin for open futures contracts. ADR--American Depositary Receipt. REIT--Real Estate Investment Trust. 22 - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note D $ 4,796,378 Overdistributed Net Investment Income (3,573) Accumulated Net Realized Losses--Note D (188,074) Unrealized Appreciation (Depreciation)--Note E Investment Securities (135,103) Futures Contracts 28 - -------------------------------------------------------------------------------- NET ASSETS $ 4,469,656 ================================================================================ Investor Shares--Net Assets Applicable to 159,629,183 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 3,017,628 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $18.90 ================================================================================ Admiral Shares--Net Assets Applicable to 31,028,851 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 586,600 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 18.90 ================================================================================ Institutional Shares--Net Assets Applicable to 45,779,020 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 865,428 ================================================================================ NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 18.90 ================================================================================ 23 STATEMENT OF OPERATIONS This Statement shows the types of income earned by each fund during the reporting period, and details the operating expenses charged to each class of its shares. These expenses directly reduce the amount of investment income available to pay to shareholders as income dividends. This Statement also shows any Net Gain (Loss) realized on the sale of investments, and the increase or decrease in the Unrealized Appreciation (Depreciation) of investments during the period. - -------------------------------------------------------------------------------- GROWTH VALUE TOTAL STOCK INDEX INDEX MARKET INDEX FUND FUND FUND ------------------------------------------ YEAR ENDED DECEMBER 31, 2001 ------------------------------------------ (000) (000) (000) - -------------------------------------------------------------------------------- INVESTMENT INCOME INCOME Dividends $ 94,923 $ 82,799 $ 292,922 Interest 148 385 9,489 Security Lending 31 19 4,572 - -------------------------------------------------------------------------------- Total Income $ 95,102 $ 83,203 $ 306,983 - -------------------------------------------------------------------------------- EXPENSES The Vanguard Group--Note B Investment Advisory Services 181 55 181 Management and Administrative-- Investor Shares 17,117 6,494 27,838 Management and Administrative-- Admiral Shares 1,317 736 4,428 Management and Administrative-- Institutional Shares 634 795 2,565 Management and Administrative-- VIPER Shares -- -- 421 Marketing and Distribution-- Investor Shares 1,755 566 2,800 Marketing and Distribution-- Admiral Shares 70 44 271 Marketing and Distribution-- Institutional Shares 156 197 793 Marketing and Distribution-- VIPER Shares -- -- 12 Custodian Fees 198 143 280 Auditing Fees 12 12 12 Shareholders' Reports-- Investor Shares 367 66 394 Shareholders' Reports-- Admiral Shares 2 1 5 Shareholders' Reports-- Institutional Shares 1 1 1 Shareholders' Reports-- VIPER Shares -- -- -- Annual Meeting and Proxy Costs-- Investor Shares 352 -- -- Annual Meeting and Proxy Costs-- Admiral Shares 1 -- -- Annual Meeting and Proxy Costs-- Institutional Shares -- -- -- Annual Meeting and Proxy Costs-- VIPER Shares -- -- -- Trustees' Fees and Expenses 19 7 34 - -------------------------------------------------------------------------------- Total Expenses 22,182 9,117 40,035 Expenses Paid Indirectly--Note C -- -- (91) - -------------------------------------------------------------------------------- Net Expenses 22,182 9,117 39,944 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 72,920 74,086 267,039 - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) Investment Securities Sold (742,271) (140,955) 473,364 Futures Contracts (1,369) (656) (34,701) - -------------------------------------------------------------------------------- REALIZED NET GAIN (LOSS) (743,640) (141,611) 438,663 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) Investment Securities (971,158) (561,390) (3,200,815) Futures Contracts 535 (70) 9,072 - -------------------------------------------------------------------------------- CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 970,623) (561,460) (3,191,743) - -------------------------------------------------------------------------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(1,641,343) $ (628,985) $ (2,486,041) ================================================================================ 24 STATEMENT OF CHANGES IN NET ASSETS This Statement shows how each fund's total net assets changed during the two most recent reporting periods. The Operations section summarizes information detailed in the Statement of Operations. The amounts shown as Distributions to shareholders from the fund's net income and capital gains may not match the amounts shown in the Operations section, because distributions are determined on a tax basis and may be made in a period different from the one in which the income was earned or the gains were realized on the financial statements. The Capital Share Transactions section shows the net amount shareholders invested in or redeemed from the fund. Distributions and Capital Share Transactions are shown separately for each class of shares. - -------------------------------------------------------------------------------- GROWTH INDEX FUND VALUE INDEX FUND ----------------- ---------------- YEAR ENDED DECEMBER 31, --------------------------------------------- 2001 2000 2001 2000 (000) (000) (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS Operations Net Investment Income $ 72,920 $ 53,630 $ 74,086 $ 67,210 Realized Net Gain (Loss) (743,640) (1,312,056) (141,611) 344,770 Change in Unrealized Appreciation (Depreciation) (970,623) (2,436,845) (561,460) (151,438) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (1,641,343) (3,695,271) (628,985) 260,542 ================================================================================ DISTRIBUTIONS Net Investment Income Investor Shares (61,410) (49,099) (50,708) (54,134) Admiral Shares (6,538) (855) (8,276) (965) Institutional Shares (7,017) (3,464) (16,937) (12,916) Realized Capital Gain* Investor Shares -- -- (150,948) (144,154) Admiral Shares -- -- (18,646) (5,500) Institutional Shares -- -- (48,876) (33,315) Total Distributions (74,965) (53,418) (294,391) (250,984) - -------------------------------------------------------------------------------- Capital Share Transactions--Note G Investor Shares (1,240,689) (601,194) 188,638 72,649 Admiral Shares 307,758 772,109 431,125 246,570 Institutional Shares 101,670 712,591 (6,660) 613,588 - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions (831,261) 883,506 613,103 932,807 - -------------------------------------------------------------------------------- Total Increase (Decrease) (2,547,569) (2,865,183) (310,273) 942,365 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 12,819,367 15,684,550 4,779,929 3,837,564 - -------------------------------------------------------------------------------- End of Period $10,271,798 $12,819,367 $4,469,656 $4,779,929 ================================================================================ * Value Index Fund's 2001 and 2000 distributions include short-term gain distributions totaling $52,164,000 and $90,115,000, respectively, that are treated as ordinary income dividends for tax purposes. 25 STATEMENT OF CHANGES IN NET ASSETS (CONTINUED) - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND YEAR ENDED DECEMBER 31, ------------------------------- 2001 2000 (000) (000) - -------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS OPERATIONS Net Investment Income $ 267,039 $ 250,777 Realized Net Gain (Loss) 438,663 467,585 Change in Unrealized Appreciation (Depreciation) (3,191,743) (3,341,210) - -------------------------------------------------------------------------------- Net Increase (Decrease) in Net Assets Resulting from Operations (2,486,041) (2,622,848) - -------------------------------------------------------------------------------- DISTRIBUTIONS Net Investment Income Investor Shares (175,649) (196,982) Admiral Shares (40,172) (6,794) Institutional Shares (52,492) (51,409) VIPER Shares (5,316) -- Realized Capital Gain* Investor Shares -- (79,372) Admiral Shares -- (5,490) Institutional Shares -- (19,854) VIPER Shares -- -- - -------------------------------------------------------------------------------- Total Distributions (273,629) (359,901) - -------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS--NOTE G Investor Shares 862,583 1,086,909 Admiral Shares 2,146,409 2,160,454 Institutional Shares 474,325 827,855 VIPER Shares 1,132,604 -- - -------------------------------------------------------------------------------- Net Increase (Decrease) from Capital Share Transactions 4,615,921 4,075,218 - -------------------------------------------------------------------------------- Total Increase (Decrease) 1,856,251 1,092,469 - -------------------------------------------------------------------------------- NET ASSETS Beginning of Period 23,232,061 22,139,592 - -------------------------------------------------------------------------------- End of Period $ 25,088,312 $23,232,061 ================================================================================ * Includes 2000 short-term gain distributions totaling $41,395,000 that are treated as ordinary income dividends for tax purposes. 26 FINANCIAL HIGHLIGHTS This table summarizes each fund's investment results and distributions to shareholders on a per-share basis for each class of shares. It also presents the Total Return and shows net investment income and expenses as percentages of average net assets. These data will help you assess: the variability of the fund's net income and total returns from year to year; the relative contributions of net income and capital gains to the fund's total return; how much it costs to operate the fund; and the extent to which the fund tends to distribute capital gains. The table also shows the Portfolio Turnover Rate, a measure of trading activity. A turnover rate of 100% means that the average security is held in the fund for one year.
- ---------------------------------------------------------------------------------------------------- GROWTH INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 1998 1997 - ---------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 30.57 $ 39.43 $ 31.67 $ 22.53 $ 16.90 - ---------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .181 .126 .207 .230 .23 Net Realized and Unrealized Gain (Loss) on Investments (4.144) (8.861) 8.821 9.244 5.88 - ---------------------------------------------------------------------------------------------------- Total from Investment Operations (3.963) (8.735) 9.028 9.474 6.11 - ---------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.187) (.125) (.228) (.219) (.23) Distributions from Realized Capital Gains -- -- (1.040) (.115) (.25) - ---------------------------------------------------------------------------------------------------- Total Distributions (.187) (.125) (1.268) (.334) (.48) - ---------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 26.42 $ 30.57 $ 39.43 $ 31.67 $ 22.53 ==================================================================================================== TOTAL RETURN* -12.93% -22.21% 28.76% 42.21% 36.34% ==================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 8,445 $ 11,162 $ 15,232 $ 6,644 $ 2,365 Ratio of Total Expenses to Average Net Assets 0.22% 0.22% 0.22% 0.22% 0.20% Ratio of Net Investment Income to Average Net Assets 0.67% 0.33% 0.64% 0.92% 1.19% Portfolio Turnover Rate 31% 33% 33% 29% 26% ==================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
27 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- GROWTH INDEX FUND ADMIRAL SHARES YEAR ENDED NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 30.57 $ 33.12 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .194 .024 Net Realized and Unrealized Gain (Loss) on Investments (4.144) (2.536) - -------------------------------------------------------------------------------- Total from Investment Operations (3.950) (2.512) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.200) (.038) Distributions from Realized Capital Gains -- -- - -------------------------------------------------------------------------------- Total Distributions (.200) (.038) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 26.42 $ 30.57 ================================================================================ TOTAL RETURN -12.88% -7.59% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 906 $ 709 Ratio of Total Expenses to Average Net Assets 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 0.74% 0.56%** Portfolio Turnover Rate 31% 33% ================================================================================ *Inception. **Annualized.
- --------------------------------------------------------------------------------------------------- GROWTH INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, MAY 14* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 DEC. 31, 1998 - --------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 30.57 $ 39.44 $ 31.67 $ 26.49 - --------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .213 .156 .249 .167 Net Realized and Unrealized Gain (Loss) on Investments (4.144) (8.861) 8.821 5.315 - --------------------------------------------------------------------------------------------------- Total from Investment Operations (3.931) (8.705) 9.070 5.482 - --------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.219) (.165) (.260) (.187) Distributions from Realized Capital Gains -- -- (1.040) (.115) - --------------------------------------------------------------------------------------------------- Total Distributions (.219) (.165) (1.300) (.302) - --------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 26.42 $ 30.57 $ 39.44 $ 31.67 =================================================================================================== TOTAL RETURN -12.82% -22.14% 28.91% 20.79% =================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 921 $ 948 $ 452 $ 224 Ratio of Total Expenses to Average Net Assets 0.10% 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 0.80% 0.44% 0.74% 0.97%** Portfolio Turnover Rate 31% 33% 33% 29% =================================================================================================== *Inception. **Annualized.
28
- ------------------------------------------------------------------------------------------------------ VALUE INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------------------------------------ FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 1998 1997 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 22.87 $ 22.89 $ 22.51 $ 20.85 $ 17.02 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .309 .355 .355 .366 .38 Net Realized and Unrealized Gain (Loss) on Investments (2.986) .963 2.342 2.647 4.57 - ------------------------------------------------------------------------------------------------------ Total from Investment Operations (2.677) 1.318 2.697 3.013 4.95 - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.316) (.358) (.362) (.363) (.37) Distributions from Realized Capital Gains (.977) (.980) (1.955) (.990) (.75) - ------------------------------------------------------------------------------------------------------ Total Distributions (1.293) (1.338) (2.317) (1.353) (1.12) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 18.90 $ 22.87 $ 22.89 $ 22.51 $ 20.85 ====================================================================================================== TOTAL RETURN* -11.88% 6.08% 12.57% 14.64% 29.77% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 3,018 $ 3,450 $ 3,378 $ 2,421 $ 1,796 Ratio of Total Expenses to Average Net Assets 0.22% 0.22% 0.22% 0.22% 0.20% Ratio of Net Investment Income to Average Net Assets 1.51% 1.60% 1.59% 1.72% 2.05% Portfolio Turnover Rate 38% 37% 41% 33% 25% ====================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000.
- -------------------------------------------------------------------------------- VALUE INDEX FUND ADMIRAL SHARES YEAR ENDED NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 22.87 $ 22.86 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .318 .045 Net Realized and Unrealized Gain (Loss) on Investments (2.986) .635 - -------------------------------------------------------------------------------- Total from Investment Operations (2.668) .680 - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.325) (.100) Distributions from Realized Capital Gains (.977) (.570) - -------------------------------------------------------------------------------- Total Distributions (1.302) (.670) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 18.90 $ 22.87 ================================================================================ TOTAL RETURN -11.83% 3.13% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 587 $ 248 Ratio of Total Expenses to Average Net Assets 0.17% 0.17%** Ratio of Net Investment Income to Average Net Assets 1.57% 0.19%** Portfolio Turnover Rate 38% 37% - -------------------------------------------------------------------------------- *Inception. **Annualized. 29
FINANCIAL HIGHLIGHTS (CONTINUED) - ----------------------------------------------------------------------------------------- VALUE INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, --------------------------- JULY 2* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 DEC. 31, 1998 - ----------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 22.87 $ 22.89 $ 22.51 $ 23.22 - ----------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .333 .377 .377 .196 Net Realized and Unrealized Gain (Loss) on Investments (2.986) .963 2.342 (.060) - ----------------------------------------------------------------------------------------- Total from Investment Operations (2.653) 1.340 2.719 .136 - ----------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.340) (.380) (.384) (.236) Distributions from Realized Capital Gains (.977) (.980) (1.955) (.610) - ----------------------------------------------------------------------------------------- Total Distributions (1.317) (1.360) (2.339) (.846) - ----------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 18.90 $ 22.87 $ 22.89 $ 22.51 ========================================================================================= TOTAL RETURN -11.77% 6.19% 12.67% 0.69% ========================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 865 $ 1,082 $ 460 $ 186 Ratio of Total Expenses to Average Net Assets 0.10% 0.12% 0.12% 0.12%** Ratio of Net Investment Income to Average Net Assets 1.63% 1.70% 1.68% 1.90%** Portfolio Turnover Rate 38% 37% 41% 33% - ----------------------------------------------------------------------------------------- *Inception. **Annualized.
- ------------------------------------------------------------------------------------------------------ TOTAL STOCK MARKET INDEX FUND INVESTOR SHARES YEAR ENDED DECEMBER 31, ------------------------------------------------------- FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 1998 1997 - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, BEGINNING OF PERIOD $ 29.26 $ 33.22 $ 27.42 $ 22.64 $ 17.77 - ------------------------------------------------------------------------------------------------------ INVESTMENT OPERATIONS Net Investment Income .310 .331 .317 .336 .319 Net Realized and Unrealized Gain (Loss) on Investments (3.533) (3.815) 6.133 4.898 5.143 - ------------------------------------------------------------------------------------------------------ Total from Investment Operations (3.223) (3.484) 6.450 5.234 5.462 - ------------------------------------------------------------------------------------------------------ DISTRIBUTIONS Dividends from Net Investment Income (.297) (.336) (.330) (.329) (.322) Distributions from Realized Capital Gains -- (.140) (.320) (.125) (.270) - ------------------------------------------------------------------------------------------------------ Total Distributions (.297) (.476) (.650) (.454) (.592) - ------------------------------------------------------------------------------------------------------ NET ASSET VALUE, END OF PERIOD $ 25.74 $ 29.26 $ 33.22 $ 27.42 $ 22.64 ====================================================================================================== TOTAL RETURN* -10.97% -10.57% 23.81% 23.26% 30.99% ====================================================================================================== RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 15,781 $ 16,856 $ 18,133 $ 9,308 $ 5,092 Ratio of Total Expenses to Average Net Assets 0.20% 0.20% 0.20% 0.20% 0.20% Ratio of Net Investment Income to Average Net Assets 1.11% 1.04% 1.15% 1.44% 1.65% Portfolio Turnover Rate 7%** 7% 3% 3% 2% ====================================================================================================== * Total returns do not reflect the $10 annual account maintenance fee applied on balances under $10,000. **The portfolio turnover rate excluding in-kind redemptions was 3%.
30 - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND ADMIRAL SHARES YEAR ENDED NOV. 13* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD DEC. 31, 2001 DEC. 31, 2000 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 29.26 $ 30.22 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .332 .049 Net Realized and Unrealized Gain (Loss) on Investments (3.533) (.830) - -------------------------------------------------------------------------------- Total from Investment Operations (3.201) (.781) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.309) (.099) Distributions from Realized Capital Gains -- (.080) - -------------------------------------------------------------------------------- Total Distributions (.309) (.179) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 25.75 $ 29.26 ================================================================================ TOTAL RETURN -10.89% -2.55% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 3,894 $ 2,104 Ratio of Total Expenses to Average Net Assets 0.15% 0.15%** Ratio of Net Investment Income to Average Net Assets 1.17% 1.23%** Portfolio Turnover Rate 7%+ 7% ================================================================================ *Inception. **Annualized. +The portfolio turnover rate excluding in-kind redemptions was 3%.
- ------------------------------------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND INSTITUTIONAL SHARES YEAR ENDED DECEMBER 31, ----------------------------------------------- JULY 7* TO FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD 2001 2000 1999 1998 DEC. 31, 1997 - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 29.27 $ 33.22 $ 27.42 $ 22.64 $ 21.27 - ------------------------------------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .341 .371 .344 .359 .172 Net Realized and Unrealized Gain (Loss) on Investments (3.533) (3.815) 6.133 4.898 1.642 - ------------------------------------------------------------------------------------------------------------- Total from Investment Operations (3.192) (3.444) 6.477 5.257 1.814 - ------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.328) (.366) (.357) (.352) (.214) Distributions from Realized Capital Gains -- (.140) (.320) (.125) (.230) - ------------------------------------------------------------------------------------------------------------- Total Distributions (.328) (.506) (.677) (.477) (.444) - ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 25.75 $ 29.27 $ 33.22 $ 27.42 $ 22.64 ============================================================================================================= TOTAL RETURN -10.85% -10.46% 23.93% 23.37% 8.60% ============================================================================================================= RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 4,217 $ 4,272 $ 4,006 $ 2,445 $ 1,504 Ratio of Total Expenses to Average Net Assets 0.08% 0.10% 0.10% 0.10% 0.10%** Ratio of Net Investment Income to Average Net Assets 1.23% 1.14% 1.26% 1.53% 1.70%** Portfolio Turnover Rate 7%+ 7% 3% 3% 2% ============================================================================================================ *Inception. **Annualized. +The portfolio turnover rate excluding in-kind redemptions was 3%.
31 FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- TOTAL STOCK MARKET INDEX FUND VIPER SHARES FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD MAY 24* TO DEC. 31, 2001 - -------------------------------------------------------------------------------- NET ASSET VALUE, BEGINNING OF PERIOD $ 118.46 - -------------------------------------------------------------------------------- INVESTMENT OPERATIONS Net Investment Income .843 Net Realized and Unrealized Gain (Loss) on Investments (12.515) - -------------------------------------------------------------------------------- Total from Investment Operations (11.672) - -------------------------------------------------------------------------------- DISTRIBUTIONS Dividends from Net Investment Income (.988) Distributions from Realized Capital Gains -- - -------------------------------------------------------------------------------- Total Distributions (.988) - -------------------------------------------------------------------------------- NET ASSET VALUE, END OF PERIOD $ 105.80 ================================================================================ TOTAL RETURN -9.82% ================================================================================ RATIOS/SUPPLEMENTAL DATA Net Assets, End of Period (Millions) $ 1,195 Ratio of Total Expenses to Average Net Assets 0.15%** Ratio of Net Investment Income to Average Net Assets 1.26%** Portfolio Turnover Rate 7%+ ================================================================================ *Inception. **Annualized. +The portfolio turnover rate excluding in-kind redemptions was 3%. 32 NOTES TO FINANCIAL STATEMENTS Vanguard Growth Index, Value Index, and Total Stock Market Index Funds are registered under the Investment Company Act of 1940 as open-end investment companies, or mutual funds. The Growth Index and Value Index Funds each offer three classes of shares: Investor Shares, Admiral Shares, and Institutional Shares. The Total Stock Market Index Fund offers four classes of shares: Investor Shares, Admiral Shares, Institutional Shares, and VIPER Shares. Admiral Shares and VIPER Shares were first issued on November 13, 2000, and May 24, 2001, respectively. Investor Shares are available to any investor who meets the fund's minimum purchase requirements. Admiral Shares are designed for investors who meet certain administrative, servicing, tenure, and account-size criteria. Institutional Shares are designed for investors who meet certain administrative and servicing criteria and invest a minimum of $10 million. VIPER Shares are listed for trading on the American Stock Exchange, and began trading on May 31, 2001; they can be purchased and sold through a broker. A. The following significant accounting policies conform to generally accepted accounting principles for U.S. mutual funds. The funds consistently follow such policies in preparing their financial statements. 1. SECURITY VALUATION: Equity securities are valued at the latest quoted sales prices as of the close of trading on the New York Stock Exchange (generally 4:00 p.m. Eastern time) on the valuation date; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Prices are taken from the primary market in which each security trades. Temporary cash investments acquired over 60 days to maturity are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued by methods deemed by the board of trustees to represent fair value. 2. FEDERAL INCOME TAXES: Each fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Accordingly, no provision for federal income taxes is required in the financial statements. 3. REPURCHASE AGREEMENTS: The funds, along with other members of The Vanguard Group, transfer uninvested cash balances to a pooled cash account, which is invested in repurchase agreements secured by U.S. government securities. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal; however, in the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings. 4. FUTURES CONTRACTS: The funds use index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. A fund may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. A fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Futures contracts based upon the following indexes are used: S&P 500/Barra Growth Index (Growth Index Fund), S&P 500/Barra Value Index (Value Index Fund), S&P 500 Index (Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund), S&P MidCap 400 Index (Total Stock Market Index Fund), and Russell 2000 Index (Total Stock Market Index Fund). 33 Futures contracts are valued at their quoted daily settlement prices. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized futures gains (losses). 5. DISTRIBUTIONS: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. 6. OTHER: Dividend income is recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. Each class of shares has equal rights as to assets and earnings, except that each class bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses), shareholder reporting, and proxy costs. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and realized and unrealized gains and losses on investments are allocated to each class of shares based on its relative net assets. B. The Vanguard Group furnishes at cost investment advisory, corporate management, administrative, marketing, and distribution services. The costs of such services are allocated to each fund under methods approved by the board of trustees. Each fund has committed to provide up to 0.40% of its net assets in capital contributions to Vanguard. At December 31, 2001, the funds had contributed capital to Vanguard (included in Other Assets) of: - -------------------------------------------------------------------------------- CAPITAL CONTRIBUTION PERCENTAGE PERCENTAGE OF TO VANGUARD OF FUND VANGUARD'S INDEX FUND (000) NET ASSETS CAPITALIZATION - -------------------------------------------------------------------------------- Growth $ 1,915 0.02% 1.91% Value 824 0.02 0.82 Total Stock Market 4,550 0.02 4.55 - -------------------------------------------------------------------------------- The funds' trustees and officers are also directors and officers of Vanguard. C. The funds' custodian banks have agreed to reduce their fees when the funds maintain cash on deposit in their non-interest-bearing custody accounts. For the year ended December 31, 2001, custodian fee offset arrangements reduced expenses of the Total Stock Market Index Fund by $91,000. D. During the year ended December 31, 2001, purchases and sales of investment securities other than temporary cash investments were: - -------------------------------------------------------------------------------- (000) ------------------------------ INDEX FUND PURCHASES SALES - -------------------------------------------------------------------------------- Growth $ 3,353,161 $ 4,209,299 Value 2,196,523 1,802,502 Total Stock Market 6,726,565 1,597,607 - -------------------------------------------------------------------------------- The Value Index Fund used a tax accounting practice to treat a portion of the price of capital shares redeemed during the year as distributions from realized capital gains. Accordingly, the fund has reclassified $13,767,000 from accumulated net realized gains to paid-in capital. For 34 federal tax purposes, capital gains required to be distributed in December 2001 included net gains realized through October 31, 2001. Subsequently, the fund realized capital losses of $188,160,000, which are available to offset future net capital gains. During the year ended December 31, 2001, the Total Stock Market Index Fund realized $646,426,000 of net capital gains resulting from in-kind redemptions--in which shareholders exchange fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital. At December 31, 2001, the funds had the following realized losses available to offset future net capital gains: - -------------------------------------------------------------------------------- CAPITAL LOSS ------------------------------------- EXPIRATION: FISCAL AMOUNT YEAR(S) ENDING INDEX FUND (000) DECEMBER 31 - -------------------------------------------------------------------------------- Growth $ 2,293,799 2008-2010 Value 188,160 2010 Total Stock Market 196,382 2009-2010 - -------------------------------------------------------------------------------- E. At December 31, 2001, net unrealized appreciation (depreciation) of investment securities for financial reporting and federal income tax purposes was: - -------------------------------------------------------------------------------- (000) ------------------------------------------ NET UNREALIZED APPRECIATED DEPRECIATED APPRECIATION INDEX FUND SECURITIES SECURITIES (DEPRECIATION) - -------------------------------------------------------------------------------- Growth $ 2,108,859 $ (682,512) $ 1,426,347 Value 564,555 (699,658) (135,103) Total Stock Market 4,193,449 (3,711,066) 482,383 - -------------------------------------------------------------------------------- At December 31, 2001, the aggregate settlement value of open futures contracts expiring in March 2002 and the related unrealized appreciation were: - -------------------------------------------------------------------------------- (000) ------------------------------------------ AGGREGATE UNREALIZED NUMBER OF SETTLEMENT APPRECIATION INDEX FUND/FUTURES CONTRACTS LONG CONTRACTS VALUE (DEPRECIATION) - -------------------------------------------------------------------------------- Growth/ S&P 500/Barra Growth Index 22 $ 3,275 $ 67 Value/ S&P 500/Barra Value Index 20 2,761 28 Total Stock Market/ S&P 500 Index 285 81,881 484 S&P MidCap 400 Index 64 16,291 194 Russell 2000 Index 34 8,318 332 - -------------------------------------------------------------------------------- Unrealized appreciation on open futures contracts is required to be treated as realized gain for tax purposes. 35 F. The market value of securities on loan to broker/dealers at December 31, 2001, and collateral received with respect to such loans were: - -------------------------------------------------------------------------------- (000) --------------------------------- MARKET VALUE CASH OF LOANED COLLATERAL INDEX FUND SECURITIES RECEIVED - -------------------------------------------------------------------------------- Growth $ 36,104 $ 37,039 Total Stock Market 127,431 151,447 - -------------------------------------------------------------------------------- The funds invest cash collateral received in repurchase agreements, and record a liability for the return of the collateral, during the period the securities are on loan. G. Capital share transactions for each class of shares were: - -------------------------------------------------------------------------------- YEAR ENDED DECEMBER 31, ---------------------------------------- 2001 2000 ------------------- ------------------ AMOUNT SHARES AMOUNT SHARES INDEX FUND (000) (000) (000) (000) - -------------------------------------------------------------------------------- GROWTH Investor Shares Issued $1,297,952 48,276 $4,456,526 117,226 Issued in Lieu of Cash Distributions 55,282 2,206 43,793 1,175 Redeemed (2,593,923) (95,917) (5,101,513) (139,573) Net Increase (Decrease)-- Investor Shares (1,240,689) (45,435) (601,194) (21,172) Admiral Shares Issued 562,503 20,711 787,118 23,688 Issued in Lieu of Cash Distributions 5,442 217 727 24 Redeemed (260,187) (9,833) (15,736) (508) Net Increase (Decrease)-- Admiral Shares 307,758 11,095 772,109 23,204 Institutional Shares Issued 340,080 12,678 893,409 24,464 Issued in Lieu of Cash Distributions 6,817 271 3,314 93 Redeemed (245,227) (9,084) (184,132) (5,018) Net Increase (Decrease)-- Institutional Shares 101,670 3,865 712,591 19,539 - -------------------------------------------------------------------------------- 36 - -------------------------------------------------------------------------------- Year Ended December 31, --------------------------------------- 2001 2000 ------------------- ------------------ Amount Shares Amount Shares Index Fund (000) (000) (000) (000) - -------------------------------------------------------------------------------- Value Investor Shares Issued $997,719 48,090 $1,124,488 50,383 Issued in Lieu of Cash Distributions 185,541 9,384 180,609 8,183 Redeemed (994,622) (48,686) (1,232,448) (55,295) Net Increase (Decrease)-- Investor Shares 188,638 8,788 72,649 3,271 Admiral Shares Issued 520,851 24,773 243,198 10,696 Issued in Lieu of Cash Distributions 23,065 1,178 5,623 259 Redeemed (112,791) (5,777) (2,251) (99) Net Increase (Decrease)-- Admiral Shares 431,125 20,174 246,570 10,856 Institutional Shares Issued 277,438 13,003 799,812 35,445 Issued in Lieu of Cash Distributions 60,419 3,049 42,414 1,932 Redeemed (344,517) (17,571) (228,638) (10,167) Net Increase (Decrease)-- Institutional Shares (6,660) (1,519) 613,588 27,210 Total Stock Market Investor Shares Issued $4,605,530 177,162 $6,782,818 210,615 Issued in Lieu of Cash Distributions 164,750 6,682 258,721 8,256 Redeemed (3,907,697) (146,839) (5,954,630) (188,753) Net Increase (Decrease)-- Investor Shares 862,583 37,005 1,086,909 30,118 Admiral Shares Issued 2,603,765 97,238 2,176,442 72,438 Issued in Lieu of Cash Distributions 34,147 1,388 10,835 390 Redeemed (491,503) (19,283) (26,823) (920) Net Increase (Decrease)-- Admiral Shares 2,146,409 79,343 2,160,454 71,908 Institutional Shares Issued 1,987,793 74,471 2,143,402 65,951 Issued in Lieu of Cash Distributions 44,317 1,792 63,649 2,034 Redeemed (1,557,785) (58,434) (1,379,196) (42,608) Net Increase (Decrease)-- Institutional Shares 474,325 17,829 827,855 25,377 VIPER Shares Issued 1,132,586 11,299 -- -- Issued in Lieu of Cash Distributions 18 -- -- -- Redeemed -- -- -- -- Net Increase (Decrease)-- VIPER Shares 1,132,604 11,299 -- -- - -------------------------------------------------------------------------------- 37 REPORT OF INDEPENDENT ACCOUNTANTS To the Shareholders and Trustees of Vanguard U.S. Stock Index Funds: In our opinion, the statements of net assets appearing herein and in the insert to this annual report and the accompanying related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Growth Index Fund, Value Index Fund, and Total Stock Market Index Fund (separate funds of Vanguard U.S. Stock Index Funds, hereafter referred to as the "Funds") at December 31, 2001, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2001 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Philadelphia, Pennsylvania January 31, 2002 - -------------------------------------------------------------------------------- SPECIAL 2001 TAX INFORMATION (UNAUDITED) FOR VANGUARD U.S. STOCK INDEX FUNDS(LARGE-CAPITALIZATION PORTFOLIOS) This information for the fiscal year ended December 31, 2001, is included pursuant to provisions of the Internal Revenue Code. The Value Index Fund distributed $180,073,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year, all of which is designated as a 20% rate gain distribution. For corporate shareholders, the percentage of investment income (dividend income plus short-term gains, if any) that qualifies for the dividends-received deduction is as follows: - ----------------------------------------------- INDEX FUND PERCENTAGE - ----------------------------------------------- Growth 100% Value 100% Total Stock Market 100% - ----------------------------------------------- 38 ADVANTAGES OF VANGUARD.COM(TM) [PICTURE OF A COMPUTER] Why wait for the mail? You can get fund reports like this one sooner--and reduce the amount of mail you receive from us. Simply choose to view your fund reports online. Consider the benefits of using Vanguard.com. On our website, you can: * Choose to receive all fund reports, as well as prospectuses, online. * Request a courtesy e-mail to notify you when a new fund report or prospectus is available. When you receive fund reports and prospectuses online, you lower Vanguard's printing and postage costs--and that helps to reduce the expense ratios of your funds. You will continue to receive confirmations of purchases, redemptions, and other account activity by mail. HOW TO NOTIFY US ABOUT YOUR MAILING PREFERENCES You can easily tell us to stop mailing your fund reports and prospectuses. Just log on to Vanguard.com (or follow the easy steps to register for secure, online access to your accounts) and update your Web profile. Registered users can also view their account values; download records of recent transactions; research and track the performance of individual securities and funds; buy, exchange, and sell fund shares; and much more. If you invest directly with us, you can also elect to receive all of your account statements online or to continue the mailing of only your year-end statements, which detail every transaction you make during the year. However, if you invest with us through an employer-sponsored retirement plan or a financial intermediary, some of these options may not be available to you. All Vanguard shareholders can choose to receive our electronic newsletters: ECONOMIC WEEK IN REVIEW, a recap of each week's key economic reports and market activity; and WHAT'S NEW AT VANGUARD, a monthly update on our mutual funds, services, and online resources. YOUR ONLINE INFORMATION IS SECURE Vanguard.com uses some of the most secure forms of online communication available, including data encryption and Secure Sockets Layer (SSL) protocol. These technologies provide a high level of security and privacy when you access your account information, initiate online transactions, or send us messages. 39 THE PEOPLE WHO GOVERN YOUR FUND The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis. A majority of Vanguard's board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. Our independent board members bring distinguished backgrounds in business, academia, and public service to their task of working with Vanguard officers to establish the policies and oversee the
- ------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------- JOHN J. BRENNAN* Chairman of the Board, Chairman of the Board, Chief Executive Officer, and (July 29, 1954) Chief Executive Officer, Director/Trustee of The Vanguard Group, Inc., and May 1987 and Trustee of each of the investment companies served by The (106) Vanguard Group. - ------------------------------------------------------------------------------------------------------------- INDEPENDENT TRUSTEES CHARLES D. ELLIS Trustee The Partners of '63 (pro bono ventures in (October 23, 1937) (106) education); Senior Adviser to Greenwich Associates January 2001 (international business-strategy consulting); Successor Trustee of Yale University; Overseer of the Stern School of Business at New York University; Trustee of the Whitehead Institute for Biomedical Research. - ------------------------------------------------------------------------------------------------------------- RAJIV L. GUPTA Trustee Chairman and Chief Executive Officer (since October (December 23, 1945) (84) 1999), Vice Chairman (January-September 1999), and December 2001 Vice President (prior to September 1999) of Rohm and Haas Co. (chemicals); Director of Technitrol, Inc. (electronic components), and Agere Systems (communications components); Board Member of the American Chemistry Council; and Trustee of Drexel University. - ------------------------------------------------------------------------------------------------------------- JOANN HEFFERNAN HEISEN Trustee Vice President, Chief Information Officer, and (January 25, 1950) (106) Member of the Executive Committee of Johnson & Johnson (pharmaceuticals/consumer products); July 1998 Director of the Medical Center at Princeton and Women's Research and Education Institute. - ------------------------------------------------------------------------------------------------------------- BRUCE K. MACLAURY Trustee President Emeritus of The Brookings Institution (May 7, 1931) (86) (an independent, nonpartisan research organization); Director of the American Express January 1990 Bank, Ltd., The St. Paul Companies, Inc. (insurance and financial services), and the National Steel Corp. - ------------------------------------------------------------------------------------------------------------- BURTON G. MALKIEL Trustee Chemical Bank Chairman's Professor of Economics, (August 28, 1932) (104) Princeton University; Director of Prudential May 1977 Insurance Co. of America, BKF Capital (investment management), The Jeffrey Co. (a holding company), and NeuVis, Inc. (a software company). - ------------------------------------------------------------------------------------------------------------- ALFRED M. RANKIN, JR. Trustee Chairman, President, Chief Executive Officer, and (October 8, 1941) (106) Director of NACCO Industries, Inc. (forklift trucks January 1993 /housewares/lignite); Director of Goodrich Corporation (industrial products/aircraft systems and services); Director of the Standard Products Company (a supplier for the automotive industry) until 1998. - ------------------------------------------------------------------------------------------------------------- JAMES O. WELCH, JR. Trustee Retired Chairman of Nabisco Brands, Inc.; retired (May 13, 1931) (106) Vice Chairman and Director of RJR Nabisco; Director September 1971 of TECO Energy, Inc. - ------------------------------------------------------------------------------------------------------------- J. LAWRENCE WILSON Trustee Retired Chairman and Chief Executive Officer of (March 2, 1936) (106) Rohm and Haas Co.(chemicals); Director of Cummins April 1985 Corp. Inc. (diesel engines), The Mead (paper products), and AmerisourceBergen Corp. (pharmaceutical distribution); Trustee of Vanderbilt University. - -------------------------------------------------------------------------------------------------------------
activities of the funds. Among board members' responsibilities are selecting investment advisers for the funds; monitoring fund operations, performance, and costs; reviewing contracts; nominating and selecting new trustees/directors; and electing Vanguard officers. Each trustee serves a fund until its termination; or until the trustee's retirement, resignation, or death; or otherwise as specified in the fund's organizational documents. Any trustee may be removed at a shareholders' meeting by a vote representing two-thirds of the net asset value of all shares of the fund together with shares of other Vanguard funds organized within the same trust. The table on these two pages shows information for each trustee and executive officer of the fund. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482.
- ------------------------------------------------------------------------------------------------------------- NAME POSITION(S) HELD WITH FUND (DATE OF BIRTH) (NUMBER OF VANGUARD FUNDS TRUSTEE/OFFICER SINCE OVERSEEN BY TRUSTEE) PRINCIPAL OCCUPATION(S) DURING THE PAST FIVE YEARS - ------------------------------------------------------------------------------------------------------------- EXECUTIVE OFFICERS* R. GREGORY BARTON Secretary Managing Director and General Counsel of The (April 25, 1951) (106) Vanguard Group, Inc. (since September 1997); June 2001 Secretary of The Vanguard Group, and of each of the investment companies served by The Vanguard Group; Principal of The Vanguard Group (prior to September 1997). - ------------------------------------------------------------------------------------------------------------- THOMAS J. HIGGINS Treasurer Principal of The Vanguard Group, Inc.; Treasurer of (May 21, 1957) (106) each of the investment companies served by The July 1998 Vanguard Group. - ------------------------------------------------------------------------------------------------------------- * Officers of the Funds are "interested persons" as defined in the Investment Company Act of 1940.
More information about the trustees is in the Statement of Additional Information, available from The Vanguard Group. VANGUARD SENIOR MANAGEMENT TEAM Mortimer J. Buckley, Information Technology. F. William McNabb, III, Institutional Investor Group. James H. Gately, Direct Investor Services. Michael S. Miller, Planning and Development. Kathleen C. Gubanich, Human Resources. Ralph K. Packard, Chief Financial Officer. Ian A. MacKinnon, Fixed Income Group. George U. Sauter, Quantitative Equity Group. - -------------------------------------------------------------------------------- John C. Bogle, Founder; Chairman and Chief Executive Officer, 1974-1996. Vanguard, The Vanguard Group, Vanguard.com, Admiral, VIPER, Explorer, Morgan, LifeStrategy, STAR, Wellesley, Wellington, Windsor, and the ship logo are trademarks of The Vanguard Group, Inc. Standard & Poor's(R), S&P(R), S&P 500(R), Standard & Poor's 500, and 500 are trademarks of The McGraw-Hill Companies, Inc., and have been licensed for use by The Vanguard Group, Inc. Vanguard mutual funds are not sponsored, endorsed, sold, or promoted by Standard & Poor's, and Standard & Poor's makes no representation regarding the advisability of investing in the funds. Calvert Social Index is a trademark of Calvert Group, Ltd., and has been licensed for use by The Vanguard Group, Inc. Vanguard Calvert Social Index Fund is not sponsored, endorsed, sold, or promoted by Calvert Group, Ltd., and Calvert Group, Ltd., makes no representation regarding the advisability of investing in the fund. All other marks are the property of their respective owners. [PICTURE OF THE VANGUARD SHIP] [THE VANGUARD LOGO] POST OFFICE BOX 2600 VALLEY FORGE, PA 19482-2600 ABOUT OUR COVER Our cover photograph was taken by Michael Kahn in September 2000 aboard HMS Rose in New York's Long Island Sound. Mr. Kahn is a renowned photographer--and accomplished sailor--whose work often focuses on seascapes and nautical images. The photograph is copyrighted by Mr. Kahn. FOR MORE INFORMATION This report is intended for the fund's shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current fund prospectus. To receive a free copy of the prospectus or the Statement of Additional Information, or to request additional information about the fund or other Vanguard funds, please contact us at one of the adjacent telephone numbers or by e-mail through VANGUARD.COM(TM). Prospectuses may also be viewed online. FUND INFORMATION 1-800-662-7447 TEXT TELEPHONE 1-800-952-3335 DIRECT INVESTOR ACCOUNT SERVICES 1-800-662-2739 INSTITUTIONAL INVESTOR SERVICES 1-800-523-1036 WORLD WIDE WEB www.vanguard.com All comparative mutual fund data are from Lipper Inc. or Morningstar, Inc., unless otherwise noted. (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. Q850 022002 VANGUARD(R)U.S. STOCK INDEX FUNDS TOTAL STOCK MARKET INDEX FUND STATEMENT OF NET ASSETS * DECEMBER 31, 2001 The Statement of Net Assets should be read in conjunction with the Statement of Operations, Statement of Changes in Net Assets, Financial Highlights, Notes to Financial Statements, and Report of Independent Accountants, all of which appear in the accompanying report. This Statement provides a detailed list of the fund's holdings, including each security's market value on the last day of the reporting period. Common stocks are listed in descending market value order. Temporary cash investments and other assets are added to, and liabilities are subtracted from, the value of Total Common Stocks to calculate the fund's Net Assets. Finally, Net Assets are divided by the outstanding shares of the fund to arrive at its share price, or Net Asset Value (NAV) Per Share. At the end of the Statement of Net Assets, you will find a table displaying the composition of the fund's net assets. Because all income and any realized gains must be distributed to shareholders each year, the bulk of net assets consists of Paid-in Capital (money invested by shareholders). The amounts shown for Undistributed Net Investment Income and Accumulated Net Realized Gains usually approximate the sums the fund had available to distribute to shareholders as income dividends or capital gains as of the statement date, but may differ because certain investments or transactions may be treated differently for financial statement and tax purposes. Any Accumulated Net Realized Losses, and any cumulative excess of distributions over net income or net realized gains, will appear as negative balances. Unrealized Appreciation (Depreciation) is the difference between the market value of the fund's investments and their cost, and reflects the gains (losses) that would be realized if the fund were to sell all of its investments at their statement-date values. - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS (99.5%)(1) - -------------------------------------------------------------------------------- General Electric Co. $ 19,278,842 $ 772,696 * Microsoft Corp. 10,459,035 692,911 Exxon Mobil Corp. 13,284,183 522,068 Citigroup, Inc. 9,991,113 504,351 Wal-Mart Stores, Inc. 8,655,562 498,128 Pfizer, Inc. 12,208,734 486,518 Intel Corp. 13,034,577 409,937 International Business Machines Corp. 3,345,349 404,653 American International Group, Inc. 5,073,418 402,829 Johnson & Johnson 5,956,956 352,057 * AOL Time Warner Inc. 8,596,488 275,947 Merck & Co., Inc. 4,417,437 259,745 * Cisco Systems, Inc. 14,263,237 258,307 SBC Communications Inc. 6,528,129 255,707 Verizon Communications 5,271,384 250,180 Home Depot, Inc. 4,550,713 232,132 The Coca-Cola Co. 4,838,337 228,128 * Berkshire Hathaway Inc.Class A 2,809 212,360 Procter & Gamble Co. 2,521,419 199,520 Philip Morris Cos., Inc. 4,207,685 192,922 Bank of America Corp. 3,055,407 192,338 Bristol-Myers Squibb Co. 3,757,432 191,629 ChevronTexaco Corp. 2,077,576 186,172 Eli Lilly & Co. 2,189,630 171,974 Abbott Laboratories 3,015,500 168,114 PepsiCo, Inc. 3,403,968 165,739 American Home Products Corp. 2,561,234 157,157 Fannie Mae 1,945,610 154,676 * Viacom Inc. Class B 3,433,915 151,607 * Oracle Corp. 10,832,443 149,596 Wells Fargo Co. 3,292,106 143,042 J.P. Morgan Chase & Co. 3,831,505 139,275 BellSouth Corp. 3,649,768 139,239 * Dell Computer Corp. 5,081,975 138,128 AT&T Corp. 6,889,172 124,970 Medtronic, Inc. 2,353,294 120,512 Morgan Stanley Dean Witter & Co. 2,129,850 119,144 * Amgen, Inc. 2,033,860 114,791 Pharmacia Corp. 2,503,988 106,795 Schering-Plough Corp. 2,847,398 101,965 Texas Instruments, Inc. 3,376,139 94,532 American Express Co. 2,593,705 92,569 1 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Minnesota Mining & Manufacturing Co. $ 762,171 $ 90,096 Bank One Corp. 2,267,074 88,529 Freddie Mac 1,348,579 88,197 Merrill Lynch & Co., Inc. 1,645,203 85,748 E.I. du Pont de Nemours & Co. 1,990,861 84,632 Wachovia Corp. 2,649,452 83,087 The Walt Disney Co. 3,958,945 82,029 * WorldCom Inc.- WorldCom Group 5,740,886 80,832 U.S. Bancorp 3,798,059 79,493 * Sun Microsystems, Inc. 6,335,056 77,921 Anheuser-Busch Cos., Inc. 1,717,250 77,637 Hewlett-Packard Co. 3,779,024 77,621 * QUALCOMM, Inc. 1,485,996 75,043 FleetBoston Financial Corp. 2,029,397 74,073 Target Corp. 1,757,721 72,154 Automatic Data Processing, Inc. 1,205,832 71,024 * AT&T Wireless Services Inc. 4,921,235 70,718 Lowe's Cos., Inc. 1,507,252 69,952 Fifth Third Bancorp 1,120,851 68,742 Gillette Co. 2,051,579 68,523 Walgreen Co. 1,982,175 66,720 McDonald's Corp. 2,515,610 66,588 * Comcast Corp.-Special Class A 1,825,197 65,707 Motorola, Inc. 4,326,042 64,977 * Liberty Media Corp. 4,625,341 64,755 * Applied Materials, Inc. 1,589,225 63,728 Electronic Data Systems Corp. 921,570 63,174 The Boeing Co. 1,619,483 62,804 Colgate-Palmolive Co. 1,076,827 62,187 Baxter International, Inc. 1,152,225 61,794 Schlumberger Ltd. 1,121,002 61,599 Kimberly-Clark Corp. 1,028,889 61,528 Dow Chemical Co. 1,755,905 59,314 United Technologies Corp. 915,427 59,164 Duke Energy Corp. 1,503,857 59,041 * Clear Channel Communications, Inc. 1,154,080 58,754 Alcoa Inc. 1,649,370 58,635 The Bank of New York Co., Inc. 1,430,701 58,373 MBNA Corp. 1,657,225 58,334 First Data Corp. 740,843 58,119 * EMC Corp. 4,313,732 57,977 Marsh & McLennan Cos., Inc. 535,861 57,578 Cardinal Health, Inc. 876,516 56,676 Washington Mutual, Inc. 1,707,028 55,820 Ford Motor Co. 3,523,646 55,392 Honeywell International Inc. 1,581,489 53,486 General Motors Corp. 1,079,907 52,483 Household International, Inc. 888,828 51,499 Emerson Electric Co. 833,457 47,590 * Sprint PCS 1,918,813 46,838 * Cox Communications, Inc. Class A 1,114,466 46,707 Allstate Corp. 1,384,690 46,664 * Kohl's Corp. 648,856 45,705 Qwest Communications International Inc. 3,232,154 45,670 Metropolitan Life Insurance Co. 1,407,465 44,588 Phillips Petroleum Co. 738,866 44,524 El Paso Corp. 990,637 44,192 UnitedHealth Group Inc. 611,229 43,257 Lucent Technologies, Inc. 6,623,183 41,660 Charles Schwab Corp. 2,654,064 41,058 * Safeway, Inc. 983,131 41,046 Illinois Tool Works, Inc. 591,193 40,036 Lockheed Martin Corp. 852,393 39,781 * Costco Wholesale Corp. 875,287 38,845 Waste Management, Inc. 1,216,928 38,832 Computer Associates International, Inc. 1,120,929 38,661 HCA Inc. 1,000,148 38,546 International Paper Co. 939,589 37,912 ALLTEL Corp. 608,927 37,589 * Cendant Corp. 1,909,094 37,437 * Tenet Healthcare Corp. 630,709 37,035 General Mills, Inc. 707,245 36,784 * Micron Technology, Inc. 1,161,435 36,004 * eBay Inc. 535,258 35,809 The Goldman Sachs Group, Inc. 384,128 35,628 United Parcel Service, Inc. 650,037 35,427 SunTrust Banks, Inc. 564,800 35,413 * Veritas Software Corp. 780,146 34,974 Caterpillar, Inc. 667,859 34,896 Sprint Corp. 1,724,659 34,631 Gannett Co., Inc. 514,572 34,595 Mellon Financial Corp. 918,412 34,551 Conoco Inc. 1,215,401 34,396 National City Corp. 1,173,519 34,314 Sysco Corp. 1,308,516 34,309 Sara Lee Corp. 1,530,264 34,018 Southern Co. 1,338,296 33,926 State Street Corp. 633,080 33,078 * Maxim Integrated Products, Inc. 627,216 32,935 * The Kroger Co. 1,576,902 32,910 Omnicom Group Inc. 360,431 32,205 * Concord EFS, Inc. 979,147 32,096 Compaq Computer Corp. 3,286,417 32,075 Harley-Davidson, Inc. 588,565 31,965 2 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Carnival Corp. $ 1,137,377 $ 31,938 BB&T Corp. 871,568 31,472 PNC Financial Services Group 556,798 31,292 General Dynamics Corp. 390,938 31,134 * Analog Devices, Inc. 699,818 31,065 Lehman Brothers Holdings, Inc. 463,906 30,989 Dominion Resources, Inc. 509,129 30,599 * FedEx Corp. 587,495 30,479 * Best Buy Co., Inc. 408,017 30,389 Exelon Corp. 623,703 29,863 Sears, Roebuck & Co. 626,440 29,844 * Guidant Corp. 597,184 29,740 NIKE, Inc. Class B 527,836 29,685 The Hartford Financial Services Group Inc. 471,944 29,652 * Prudential Financial, Inc. 884,500 29,357 * Immunex Corp. 1,059,143 29,349 * Forest Laboratories, Inc. 344,806 28,257 H.J. Heinz Co. 678,366 27,894 Anadarko Petroleum Corp. 487,801 27,731 Union Pacific Corp. 482,328 27,493 Southwest Airlines Co. 1,481,372 27,376 American Electric Power Co., Inc. 626,849 27,287 CIGNA Corp. 285,681 26,468 * General Motors Corp. Class H 1,706,156 26,360 USA Education Inc. 310,623 26,099 Northern Trust Corp. 433,020 26,076 Williams Cos., Inc. 1,000,366 25,529 * Agilent Technologies, Inc. 890,445 25,387 Paychex, Inc. 726,440 25,316 * Xilinx, Inc. 647,146 25,271 * Siebel Systems, Inc. 898,912 25,152 AFLAC, Inc. 1,022,787 25,120 ConAgra Foods, Inc. 1,044,663 24,832 Albertson's, Inc. 788,202 24,820 * Genzyme Corp. 410,196 24,554 Raytheon Company 753,539 24,467 John Hancock Financial Services, Inc. 588,781 24,317 Linear Technology Corp. 618,354 24,141 Equity Office Properties Trust REIT 801,617 24,113 TXU Corp. 508,266 23,965 Baker Hughes, Inc. 653,398 23,829 Kellogg Co. 790,039 23,780 Campbell Soup Co. 794,744 23,739 * PeopleSoft, Inc. 588,770 23,669 The Gap, Inc. 1,672,073 23,309 The McGraw-Hill Cos., Inc. 379,924 23,168 * Genentech, Inc. 423,295 22,964 The Chubb Corp. 329,769 22,754 Weyerhaeuser Co. 418,825 22,650 CVS Corp. 764,968 22,643 Wrigley, (Wm.) Jr. Co. 439,738 22,589 Capital One Financial Corp. 417,744 22,537 * Gemstar-TV Guide International, Inc. 806,020 22,327 Stryker Corp. 381,790 22,285 * JDS Uniphase Corp. 2,562,346 22,241 Masco Corp. 894,917 21,925 Burlington Northern Santa Fe Corp. 762,668 21,759 Tribune Co. 580,658 21,734 Northrop Grumman Corp. 214,692 21,643 Interpublic Group of Cos., Inc. 729,444 21,548 Avon Products, Inc. 461,995 21,483 Progressive Corp. of Ohio 143,762 21,464 May Department Stores Co. 576,607 21,323 TJX Cos., Inc. 529,625 21,111 Transocean Sedco Forex Inc. 619,053 20,936 Loews Corp. 377,461 20,904 McKesson Corp. 554,450 20,736 * Broadcom Corp. 505,710 20,668 FirstEnergy Corp. 587,338 20,545 Air Products & Chemicals, Inc. 432,412 20,284 * Sanmina-SCI Corp. 1,011,525 20,129 KeyCorp 826,402 20,115 * IDEC Pharmaceuticals Corp. 291,778 20,112 * King Pharmaceuticals, Inc. 475,701 20,041 Deere & Co. 457,047 19,955 Comerica, Inc. 347,131 19,891 * Yahoo!, Inc. 1,102,789 19,563 FPL Group, Inc. 342,472 19,315 Marriott International, Inc. Class A 474,631 19,294 Allergan, Inc. 256,056 19,217 * MedImmune Inc. 414,178 19,197 Occidental Petroleum Corp. 721,319 19,137 Progress Energy, Inc. 423,611 19,075 * Bed Bath & Beyond, Inc. 562,020 19,052 * Boston Scientific Corp. 781,012 18,838 * NVIDIA Corp. 281,090 18,805 Aon Corp. 522,917 18,574 Kraft Foods Inc. 544,780 18,539 Xcel Energy, Inc. 668,273 18,538 Archer-Daniels-Midland Co. 1,290,838 18,524 The Clorox Co. 460,017 18,194 Golden West Financial Corp. 308,877 18,177 Pitney Bowes, Inc. 480,678 18,078 USX-Marathon Group 601,121 18,034 Hershey Foods Corp. 266,167 18,020 Franklin Resources Corp. 510,735 18,014 * Solectron Corp. 1,595,289 17,995 * KLA-Tencor Corp. 360,664 17,875 Lincoln National Corp. 366,885 17,820 St. Paul Cos., Inc. 402,774 17,710 * Intuit, Inc. 407,645 17,439 Dynegy, Inc. 682,216 17,397 Praxair, Inc. 312,572 17,270 Unocal Corp. 474,070 17,100 3 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Public Service Enterprise Group, Inc. $ 404,976 $ 17,086 PPG Industries, Inc. 327,751 16,951 * AES Corp. 1,035,584 16,932 * The Principal Financial Group 702,408 16,858 Entergy Corp. 429,524 16,799 * NEXTEL Communications, Inc. 1,532,192 16,793 Danaher Corp. 277,592 16,742 * USA Networks, Inc. 611,370 16,697 Consolidated Edison Inc. 413,287 16,680 Becton, Dickinson & Co. 501,569 16,627 Eastman Kodak Co. 564,395 16,610 * Staples, Inc. 887,563 16,597 * Biogen, Inc. 289,110 16,580 Coca-Cola Enterprises, Inc. 867,170 16,424 * Univision Communications Inc. 405,568 16,409 Applera Corp. - Applied Biosystems Group 416,883 16,371 SouthTrust Corp. 661,911 16,329 * Chiron Corp. 369,315 16,191 Corning, Inc. 1,811,726 16,161 Biomet, Inc. 522,685 16,151 * Computer Sciences Corp. 328,365 16,083 * Altera Corp. 752,218 15,962 * Electronic Arts Inc. 266,256 15,962 H & R Block, Inc. 355,926 15,910 * VeriSign, Inc. 415,687 15,813 Cintas Corp. 328,755 15,780 * Federated Department Stores, Inc. 385,152 15,753 * SunGard Data Systems, Inc. 542,338 15,690 MBIA, Inc. 288,752 15,486 * Fox Entertainment Group, Inc. Class A 581,162 15,418 Reliant Energy, Inc. 579,084 15,357 * Fiserv, Inc. 362,800 15,354 * AutoZone Inc. 209,373 15,033 Equity Residential Properties Trust REIT 523,152 15,020 Burlington Resources, Inc. 399,644 15,003 Delphi Automotive Systems Corp. 1,090,810 14,900 * Apple Computer, Inc. 679,809 14,888 Rohm & Haas Co. 428,828 14,850 * Brocade Communications Systems, Inc. 446,026 14,772 * Lexmark International, Inc. 249,609 14,727 Dover Corp. 395,661 14,667 CSX Corp. 415,027 14,547 * PG&E Corp. 752,951 14,487 Adobe Systems, Inc. 465,206 14,445 Mattel, Inc. 839,260 14,435 * WellPoint Health Networks Inc. Class A 123,323 14,410 Xerox Corp. 1,376,889 14,347 Newell Rubbermaid, Inc. 518,616 14,298 Intimate Brands, Inc. 956,480 14,213 Synovus Financial Corp. 564,655 14,145 * Starbucks Corp. 739,502 14,088 * Tricon Global Restaurants, Inc. 286,154 14,079 * Network Appliance, Inc. 636,247 13,915 J.C. Penney Co., Inc. 511,911 13,770 M & T Bank Corp. 188,691 13,746 Norfolk Southern Corp. 749,175 13,732 Ingersoll-Rand Co. 327,698 13,701 Jefferson-Pilot Corp. 295,861 13,689 Johnson Controls, Inc. 169,131 13,657 AmSouth Bancorp 713,565 13,486 DTE Energy Co. 320,661 13,449 Regions Financial Corp. 442,826 13,258 The Pepsi Bottling Group, Inc. 559,902 13,158 * Quest Diagnostics, Inc. 183,054 13,127 New York Times Co. Class A 302,011 13,062 * St. Jude Medical, Inc. 166,762 12,949 GlobalSantaFe Corporation 453,029 12,920 MGIC Investment Corp. 208,766 12,885 Marshall & Ilsley Corp. 203,615 12,885 * EchoStar Communications Corp. 468,247 12,863 AmerisourceBergen Corp. 200,114 12,717 * CNA Financial Corp. 435,501 12,704 * Convergys Corp. 333,043 12,486 UnumProvident Corp. 470,275 12,467 * Mirant Corp. 776,611 12,441 Kinder Morgan, Inc. 223,226 12,431 * Cablevision Systems- NY Group Class A 259,227 12,300 Genuine Parts Co. 334,853 12,289 Moody's Corp. 306,546 12,219 The Limited, Inc. 829,498 12,210 Georgia Pacific Group 440,244 12,155 Avery Dennison Corp. 214,847 12,145 * Gilead Sciences, Inc. 184,217 12,107 * BerkshireHathaway Inc. Class B 4,786 12,085 Apache Corp. 242,017 12,072 Union Planters Corp. 266,647 12,034 Cincinnati Financial Corp. 313,219 11,949 AMBAC Financial Group Inc. 205,982 11,918 * BEA Systems, Inc. 773,798 11,916 * Tellabs, Inc. 796,494 11,916 * Juniper Networks, Inc. 628,593 11,912 * DST Systems, Inc. 238,492 11,889 * Affiliated Computer Services, Inc. Class A 111,945 11,881 * International Game Technology 173,127 11,825 Molex, Inc. 380,795 11,786 Charter One Financial 430,118 11,678 UnionBanCal Corp. 306,773 11,657 4 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Stilwell Financial, Inc. $ 426,711 $ 11,615 Fortune Brands, Inc. 292,636 11,585 * Zimmer Holdings, Inc. 378,038 11,545 Starwood Hotels & Resorts Worldwide, Inc. 386,363 11,533 Textron, Inc. 274,867 11,396 Ameren Corp. 267,406 11,311 * HEALTHSOUTH Corp. 759,754 11,260 IMS Health, Inc. 574,186 11,202 UST, Inc. 319,605 11,186 Willamette Industries, Inc. 213,372 11,121 * LSI Logic Corp. 703,110 11,095 * Laboratory Corp. of America Holdings 136,934 11,071 Halliburton Co. 836,473 10,958 * Sabre Holdings Corp. 258,487 10,947 * Novellus Systems, Inc. 277,298 10,939 Amerada Hess Corp. 173,783 10,861 RadioShack Corp. 360,755 10,859 Bear Stearns Co., Inc. 184,739 10,833 Kerr-McGee Corp. 197,399 10,817 * Office Depot, Inc. 583,410 10,816 * Advanced Micro Devices, Inc. 668,905 10,609 * Cadence Design Systems, Inc. 483,800 10,605 * SPX Corp. 77,160 10,563 Circuit City Stores, Inc. 405,646 10,527 R.J. Reynolds Tobacco Holdings, Inc. 186,251 10,486 Parker Hannifin Corp. 227,302 10,435 * BJ Services Co. 320,571 10,403 * National Semiconductor Corp. 337,713 10,398 * Millennium Pharmaceuticals, Inc. 423,363 10,377 * Teradyne, Inc. 344,164 10,373 Cinergy Corp. 310,031 10,364 Telephone & Data Systems, Inc. 114,305 10,259 * Metro-Goldwyn-Mayer Inc. 466,394 10,214 * Apollo Group, Inc. Class A 226,803 10,208 E.W. Scripps Co. Class A 154,323 10,185 Knight Ridder 156,519 10,163 National Commerce Financial Corp. 399,348 10,104 North Fork Bancorp, Inc. 314,660 10,066 Family Dollar Stores, Inc. 334,736 10,035 Ecolab, Inc. 248,230 9,991 Eaton Corp. 134,231 9,988 PPL Corp. 284,321 9,909 * Microchip Technology, Inc. 255,690 9,905 Plum Creek Timber Company Inc. 348,662 9,885 Simon Property Group, Inc. REIT 335,677 9,845 Sempra Energy 400,700 9,837 * Waters Corp. 253,725 9,832 * Nabors Industries, Inc. 285,714 9,809 Washington Post Co. Class B 18,479 9,794 * Calpine Corp. 582,055 9,773 PACCAR, Inc. 148,846 9,767 Devon Energy Corp. 252,173 9,746 * Andrx Corp. - Andrx Group 136,905 9,639 Torchmark Corp. 244,033 9,598 Countrywide Credit Industries, Inc. 234,193 9,595 * Edison International 635,390 9,594 Dollar General Corp. 643,530 9,589 SEI Corp. 211,581 9,544 Whirlpool Corp. 129,806 9,519 * American Standard Cos., Inc. 139,005 9,484 Vulcan Materials Co. 196,709 9,430 Zions Bancorp 179,201 9,422 * Charter Communications, Inc. 572,906 9,413 * Symantec Corp. 141,378 9,378 * Anthem, Inc. 188,596 9,336 KeySpan Corp. 268,992 9,321 * Adelphia Communications Corp. Class A 298,883 9,319 Transatlantic Holdings, Inc. 101,891 9,272 NiSource, Inc. 401,975 9,270 * TMP Worldwide, Inc. 214,633 9,208 * CDW Computer Centers, Inc. 170,840 9,176 Aetna Inc. 277,160 9,144 Mylan Laboratories, Inc. 243,748 9,141 * CIENA Corp. 637,009 9,116 * Robert Half International, Inc. 341,278 9,112 Dow Jones & Co., Inc. 166,343 9,104 First Tennessee National Corp. 250,230 9,073 TRW, Inc. 244,335 9,050 CenturyTel, Inc. 274,366 8,999 * MGM Mirage, Inc. 310,688 8,970 Tiffany & Co. 284,799 8,963 W.W. Grainger, Inc. 185,204 8,890 * Noble Drilling Corp. 261,047 8,886 EOG Resources, Inc. 226,176 8,846 Allegheny Energy, Inc. 242,512 8,784 Leggett & Platt, Inc. 381,764 8,781 * Health Management Associates Class A 476,705 8,771 Archstone-Smith Trust 329,689 8,671 * Sepracor Inc. 151,516 8,646 ITT Industries, Inc. 171,051 8,638 * Jabil Circuit, Inc. 378,013 8,588 VF Corp. 218,011 8,505 Constellation Energy Group 318,557 8,458 * Compuware Corp. 715,291 8,433 * Thermo Electron Corp. 352,744 8,416 Sherwin-Williams Co. 305,347 8,397 Huntington Bancshares Inc. 488,277 8,393 * Human Genome Sciences, Inc. 248,799 8,390 PerkinElmer, Inc. 238,545 8,354 Brown-Forman Corp. Class B 133,264 8,342 5 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- T. Rowe Price Group Inc. $ 239,404 $ 8,315 * Harrah's Entertainment, Inc. 223,479 8,271 * Weatherford International, Inc. 221,266 8,244 Darden Restaurants Inc. 230,104 8,146 * Citrix Systems, Inc. 359,395 8,144 Dime Bancorp, Inc. 224,924 8,115 * Comverse Technology, Inc. 360,706 8,069 American Water Works Co., Inc. 193,151 8,064 * Agere Systems Inc. 1,416,063 8,057 ServiceMaster Co. 583,803 8,056 * AutoNation, Inc. 651,298 8,031 Total System Services, Inc. 378,846 8,024 AVX Corp. 339,988 8,020 Nucor Corp. 151,106 8,003 * QLogic Corp. 179,293 7,980 * Toys R Us, Inc. 384,232 7,969 Tyson Foods, Inc. 685,867 7,922 Vornado Realty Trust REIT 190,147 7,910 * Jones Apparel Group, Inc. 237,642 7,883 Diamond Offshore Drilling, Inc. 259,199 7,880 Hilton Hotels Corp. 717,198 7,832 * IVAX Corp. 388,767 7,830 * Amazon.com, Inc. 723,282 7,826 Estee Lauder Cos. Class A 243,870 7,818 * BMC Software, Inc. 474,365 7,765 The Stanley Works 166,560 7,757 Radian Group, Inc. 180,558 7,755 * Unisys Corp. 617,860 7,748 SAFECO Corp. 248,625 7,745 * Rational Software Corp. 395,932 7,721 Popular, Inc. 265,469 7,720 * U.S. Cellular Corp. 168,178 7,610 Scientific-Atlanta, Inc. 317,112 7,592 * Smurfit-Stone Container Corp. 474,789 7,582 The Goodyear Tire & Rubber Co. 314,032 7,477 Public Storage, Inc. REIT 221,422 7,395 * E*TRADE Group, Inc. 720,560 7,386 Murphy Oil Corp. 87,706 7,371 TCF Financial Corp. 153,292 7,355 * Caremark Rx, Inc. 450,372 7,346 ProLogis Trust REIT 341,100 7,337 * Cephalon, Inc. 96,639 7,304 Federated Investors, Inc. 228,072 7,271 Newmont Mining Corp. 380,401 7,269 Hormel Foods Corp. 269,514 7,242 * BISYS Group, Inc. 112,986 7,230 * Express Scripts Inc. 152,582 7,135 Compass Bancshares Inc. 249,577 7,063 Engelhard Corp. 254,461 7,043 Banknorth Group, Inc. 312,255 7,033 * Synopsys, Inc. 118,985 7,028 Green Point Financial Corp. 196,511 7,025 * ADC Telecommunications, Inc. 1,525,330 7,017 Delta Air Lines, Inc. 239,333 7,003 Symbol Technologies, Inc. 440,613 6,997 Rockwell Collins 356,531 6,952 Ultramar Diamond Shamrock Corp. 140,481 6,951 Pinnacle West Capital Corp. 165,498 6,926 TECO Energy, Inc. 263,915 6,925 * NCR Corp. 187,748 6,920 * Conexant Systems, Inc. 481,286 6,911 A.G. Edwards & Sons, Inc. 156,183 6,899 * Network Associates, Inc. 265,818 6,871 Golden State Bancorp Inc. 262,498 6,864 * L-3 Communications Holdings, Inc. 75,645 6,808 * Lamar Advertising Co. Class A 160,614 6,800 Equifax, Inc. 280,379 6,771 * Dollar Tree Stores, Inc. 218,846 6,765 Hillenbrand Industries, Inc. 121,634 6,723 ENSCO International, Inc. 270,324 6,718 * Avaya Inc. 552,669 6,715 Boston Properties, Inc. REIT 176,516 6,708 R.R. Donnelley & Sons Co. 225,349 6,691 * Atmel Corp. 902,389 6,651 * Weight Watchers International, Inc. 196,552 6,647 * Sealed Air Corp. 162,681 6,641 * AMR Corp. 299,183 6,633 * Applied Micro Circuits Corp. 585,063 6,623 * ICOS Corp. 115,074 6,610 Apartment Investment & Management Co. Class A REIT 144,463 6,606 Centex Corp. 115,601 6,600 * ImClone Systems, Inc. 141,716 6,584 * Republic Services, Inc. Class A 329,209 6,574 * Barr Laboratories, Inc. 82,560 6,552 * i2 Technologies, Inc. 821,071 6,486 Old Republic International Corp. 231,304 6,479 * Watson Pharmaceuticals, Inc. 206,019 6,467 Avalonbay Communities, Inc. REIT 135,611 6,416 * Vishay Intertechnology, Inc. 328,182 6,400 * PanAmSat Corp. 292,230 6,394 Ocean Energy, Inc. 332,642 6,387 * Invitrogen Corp. 103,003 6,379 C.R. Bard, Inc. 98,842 6,375 Cooper Industries, Inc. 182,222 6,363 Rockwell International Corp. 355,731 6,353 Legg Mason Inc. 127,010 6,348 * Westwood One, Inc. 210,076 6,313 Ashland, Inc. 136,166 6,275 6 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Neuberger Berman Inc. $ 142,913 $ 6,274 Kimco Realty Corp. REIT 191,778 6,269 Wendy's International, Inc. 214,134 6,246 * BJ's Wholesale Club, Inc. 141,598 6,244 * Emulex Corp. 157,751 6,233 CMS Energy Corp. 257,761 6,194 Duke Realty Corp. REIT 254,320 6,188 * ChoicePoint Inc. 120,799 6,123 * RF Micro Devices, Inc. 317,545 6,106 Royal Caribbean Cruises, Ltd. 374,104 6,060 Black & Decker Corp. 158,619 5,985 * Lincare Holdings, Inc. 208,734 5,980 Mercantile Bankshares Corp. 138,592 5,965 The Mead Corp. 192,733 5,954 DPL Inc. 246,262 5,930 * Polycom, Inc. 173,796 5,921 * Cytyc Corp. 225,707 5,891 Sunoco, Inc. 157,641 5,886 Sovereign Bancorp, Inc. 480,394 5,880 * Citizens Communications Co. 548,804 5,850 Eastman Chemical Co. 149,791 5,845 Avnet, Inc. 228,361 5,816 * Peregrine Systems, Inc. 391,542 5,807 * Oxford Health Plan 192,393 5,799 Lennar Corp. 123,685 5,791 The PMI Group Inc. 86,350 5,786 * Brinker International, Inc. 194,261 5,781 * TIBCO Software Inc. 387,106 5,779 Pall Corp. 239,884 5,772 Expeditors International of Washington, Inc. 101,300 5,769 Fluor Corp. 154,128 5,764 * Arrow Electronics, Inc. 191,950 5,739 Sigma-Aldrich Corp. 144,950 5,712 * Dean Foods Company 83,730 5,710 SuperValu Inc. 257,502 5,696 SCANA Corp. 203,718 5,669 * Abgenix, Inc. 167,768 5,644 Diebold, Inc. 139,345 5,635 Westvaco Corp. 197,874 5,630 McCormick & Co., Inc. 133,832 5,617 UtiliCorp United, Inc. 222,087 5,590 * Protein Design Labs, Inc. 170,198 5,582 * Mohawk Industries, Inc. 101,721 5,582 * LAM Research Corp. 240,380 5,582 Millipore Corp. 91,665 5,564 * Niagara Mohawk Holdings Inc. 313,186 5,553 International Flavors & Fragrances, Inc. 186,590 5,544 * Intersil Corp. 171,615 5,535 Deluxe Corp. 132,982 5,529 * Integrated Device Technology Inc. 207,772 5,525 * Dun & Bradstreet Corp. 156,422 5,522 * Pactiv Corp. 309,476 5,493 * American Power Conversion Corp. 379,506 5,488 Hibernia Corp. Class A 308,370 5,486 Hasbro, Inc. 337,098 5,471 * Fairchild Semiconductor Corp. 193,959 5,470 Arthur J. Gallagher & Co. 158,543 5,468 * Mercury Interactive Corp. 160,794 5,464 Temple-Inland Inc. 95,847 5,437 * Hispanic Broadcasting Corp. 213,078 5,433 * Allied Waste Industries, Inc. 383,820 5,397 * Patterson Dental Co. 131,459 5,381 Goodrich Corp. 202,082 5,379 * McData Corp. Class A 218,680 5,358 White Mountains Insurance Group Inc. 15,393 5,357 * Park Place Entertainment 580,206 5,320 * Ceridian Corp. 283,604 5,318 * Apogent Technologies Inc. 205,830 5,310 Hudson City Bancorp, Inc. 201,215 5,302 * Smith International, Inc. 98,704 5,293 ICN Pharmaceuticals, Inc. 157,531 5,277 Nordstrom, Inc. 260,142 5,263 * Orion Power Holdings, Inc. 201,510 5,259 * Kmart Corp. 956,017 5,220 Mitchell Energy & Development Corp. Class A 97,856 5,216 * Health Net Inc. 239,349 5,213 Beckman Coulter, Inc. 117,305 5,197 Unitrin, Inc. 131,303 5,189 Wisconsin Energy Corp. 229,419 5,176 Alliant Energy Corp. 170,224 5,168 Bowater Inc. 108,103 5,157 Pulte Homes, Inc. 115,162 5,144 * KPMG Consulting Inc. 308,775 5,116 * Abercrombie & Fitch Co. 192,680 5,112 * Rite Aid Corp. 1,009,322 5,107 * AmeriCredit Corp. 161,303 5,089 Liz Claiborne, Inc. 102,181 5,084 * Outback Steakhouse 148,305 5,079 Bemis Co., Inc. 103,200 5,075 DENTSPLY International Inc. 101,089 5,075 * Gateway, Inc. 628,722 5,055 Astoria Financial Corp. 190,452 5,039 * Amkor Technology, Inc. 314,081 5,035 Ross Stores, Inc. 156,889 5,033 Valley National Bancorp 152,336 5,019 Commerce Bancshares, Inc. 128,621 5,015 Allied Capital Corp. 192,577 5,007 Waddell & Reed Financial, Inc. 155,468 5,006 * Universal Health Services Class B 116,778 4,996 7 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Manpower Inc. $ 147,812 $ 4,983 Phelps Dodge Corp. 153,594 4,976 Lafarge North America Inc. 132,172 4,966 John Nuveen Co. Class A 92,467 4,945 * Cypress Semiconductor Corp. 247,722 4,937 Commerce Bancorp, Inc. 125,494 4,937 Northeast Utilities 279,914 4,935 * Community Health Systems, Inc. 193,437 4,933 Alberto-Culver Co. Class B 110,247 4,932 Sonoco Products Co. 185,362 4,927 * Trigon Healthcare, Inc. 70,909 4,925 Fastenal Co. 73,995 4,915 * AdvancePCS 167,000 4,901 * Smithfield Foods, Inc. 219,070 4,828 * Security Capital Group Inc. REIT Class B 190,027 4,821 Eaton Vance Corp. 135,389 4,813 * Semtech Corp. 134,701 4,807 Potomac Electric Power Co. 211,839 4,781 * Certegy, Inc. 139,588 4,777 C.H. Robinson Worldwide, Inc. 165,054 4,773 D. R. Horton, Inc. 146,981 4,771 Erie Indemnity Co. Class A 123,854 4,767 * Iron Mountain, Inc. 108,422 4,749 * Manor Care, Inc. 200,258 4,748 * Lear Corp. 124,365 4,743 * Williams-Sonoma, Inc. 110,418 4,737 * First Health Group Corp. 190,920 4,723 * Tektronix, Inc. 182,350 4,701 * Micrel, Inc. 179,159 4,699 * Celgene Corp. 147,170 4,698 New York Community Bancorp, Inc. 205,296 4,695 * Enzon, Inc. 83,251 4,685 * Krispy Kreme Doughnuts, Inc. 105,372 4,657 NSTAR 103,116 4,625 Maytag Corp. 148,843 4,619 Host Marriott Corp. REIT 512,574 4,613 Mercury General Corp. 105,562 4,609 * Varian Medical Systems, Inc. 64,592 4,603 Clayton Homes Inc. 269,000 4,600 Reader's Digest Assn., Inc. Class A 198,960 4,592 First Virginia Banks, Inc. 90,141 4,576 Allmerica Financial Corp. 102,586 4,570 * TeleCorp PCS, Inc. 366,288 4,568 Navistar International Corp. 115,535 4,564 Associated Banc-Corp 128,882 4,548 Valero Energy Corp. 119,137 4,542 * Tech Data Corp. 104,878 4,539 * Whole Foods Market, Inc. 104,198 4,539 Cabot Corp. 127,118 4,538 FirstMerit Corp. 166,484 4,510 Omnicare, Inc. 181,159 4,507 * Crown Castle International Corp. 417,921 4,463 The St. Joe Co. 160,266 4,447 * Vitesse Semiconductor Corp. 357,408 4,443 * Entercom Communications Corp. 88,070 4,404 Talbots Inc. 121,056 4,388 Investors Financial Services Corp. 65,989 4,369 City National Corp. 92,959 4,355 Wesco Financial Corp. 13,791 4,344 Equitable Resources, Inc. 127,418 4,341 American National Insurance Co. 51,596 4,339 * Lattice Semiconductor Corp. 210,710 4,334 Energy East Corp. 226,307 4,298 Martin Marietta Materials, Inc. 91,986 4,287 * Palm, Inc. 1,102,713 4,279 * Affymetrix, Inc. 113,127 4,271 * WebMD Corp. 604,438 4,267 Liberty Property Trust REIT 142,917 4,266 * International Rectifier Corp. 122,290 4,265 * Cooper Cameron Corp. 105,449 4,256 * Foot Locker, Inc. 271,801 4,254 AMB Property Corp. REIT 163,575 4,253 Conectiv, Inc. 173,579 4,251 * Copart, Inc. 116,546 4,239 iStar Financial Inc. 169,188 4,221 * 3Com Corp. 657,754 4,196 * Cree, Inc. 142,424 4,196 PepsiAmericas, Inc. 303,804 4,192 XTO Energy, Inc. 239,040 4,183 * Storage Technology Corp. 202,326 4,182 * CSG Systems International, Inc. 103,256 4,177 The McClatchy Co. Class A 88,736 4,171 Fidelity National Financial, Inc. 167,499 4,154 * Michaels Stores, Inc. 124,666 4,108 * Expedia Inc. 100,532 4,083 International Speedway Corp. 103,863 4,061 Viad Corp. 171,105 4,052 * DaVita, Inc. 165,040 4,035 Allete, Inc. 160,029 4,033 * Triad Hospitals, Inc. 137,372 4,032 * BroadWing Inc. 424,391 4,032 Pacific Century Financial Corp. 155,626 4,029 * Parametric Technology Corp. 515,824 4,029 Wilmington Trust Corp. 63,488 4,019 * Perot Systems Corp. 196,227 4,007 Dana Corp. 288,589 4,006 Tidewater Inc. 117,931 3,998 Belo Corp. Class A 213,005 3,994 Crescent Real Estate, Inc. REIT 220,324 3,990 General Growth Properties Inc. REIT 102,553 3,979 8 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Amphenol Corp. $ 82,506 $ 3,964 * Western Wireless Corp. Class A 140,164 3,960 Rouse Co. REIT 135,004 3,954 * Overture Services, Inc. 111,401 3,947 Health Care Properties Investors REIT 108,941 3,945 Bausch & Lomb, Inc. 104,572 3,938 Questar Corp. 157,196 3,938 Harris Corp. 128,302 3,914 * Humana, Inc. 331,561 3,909 Autodesk, Inc. 104,787 3,905 Winn-Dixie Stores, Inc. 274,062 3,905 Noble Affiliates, Inc. 110,287 3,892 * Pride International, Inc. 257,155 3,883 * Gentex Corp. 145,088 3,878 Adolph Coors Co. Class B 72,517 3,872 * Nextel Partners, Inc. 322,641 3,872 Protective Life Corp. 133,674 3,867 Reynolds & Reynolds Class A 159,461 3,867 * Devry, Inc. 135,909 3,867 * Hearst-Argyle Television Inc. 178,943 3,858 Tootsie Roll Industries, Inc. 98,521 3,850 * LaBranche & Co. Inc. 111,714 3,850 * Quest Software, Inc. 173,692 3,840 Visteon Corp. 255,008 3,835 * 99 Cents Only Stores 100,189 3,817 CONSOL Energy, Inc. 153,363 3,810 Snap-On Inc. 113,151 3,809 * Finisar Corp. 374,455 3,808 Ball Corp. 53,846 3,807 * The Phoenix Companies, Inc. 205,700 3,805 Boise Cascade Corp. 111,885 3,805 * Medicis Pharmaceutical Corp. 58,908 3,805 National Fuel Gas Co. 153,950 3,803 * Applera Corp. - Celera Genomics Group 142,324 3,799 * Packaging Corp. of America 208,242 3,780 Jack Henry & Associates 172,973 3,778 * Riverstone Networks, Inc. 226,753 3,764 * Barnes & Noble, Inc. 126,953 3,758 Valspar Corp. 94,686 3,750 * Catalina Marketing Corp. 107,986 3,747 * Level 3 Communications, Inc. 744,695 3,723 MDU Resources Group, Inc. 132,242 3,723 * O'Reilly Automotive, Inc. 101,719 3,710 Bunge Limited 159,300 3,709 * Cabot Microelectronics Corp. 46,766 3,706 Brunswick Corp. 170,309 3,706 KB HOME 92,372 3,704 * National Instruments Corp. 98,875 3,704 * Valassis Communications, Inc. 103,906 3,701 NICOR, Inc. 88,638 3,691 * NetIQ Corp. 104,674 3,691 * Quintiles Transnational Corp. 229,943 3,691 * Pioneer Natural Resources Co. 191,385 3,686 * Alliant Techsystems, Inc. 47,698 3,682 Puget Energy, Inc. 167,504 3,667 * J.D. Edwards & Co. 222,736 3,664 CarrAmerica Realty Corp. REIT 121,645 3,662 * Investment Technology Group, Inc. 92,741 3,623 * FMC Corp. 60,800 3,618 * Freeport-McMoRan Copper & Gold Inc. Class B 268,430 3,594 * Vertex Pharmaceuticals, Inc. 144,814 3,561 * Rowan Cos., Inc. 183,570 3,556 * American Eagle Outfitters, Inc. 135,798 3,554 Teleflex Inc. 75,014 3,549 * Catellus Development Corp. 192,249 3,537 Hospitality Properties Trust REIT 119,599 3,528 * Swift Transportation Co., Inc. 163,154 3,509 Fulton Financial Corp. 160,613 3,506 * Constellation Brands, Inc. Class A 81,814 3,506 OGE Energy Corp. 151,563 3,498 Herman Miller, Inc. 147,744 3,496 Lubrizol Corp. 99,500 3,491 Harte-Hanks, Inc. 123,907 3,490 * Sicor, Inc. 222,461 3,488 Pentair, Inc. 95,538 3,488 Brown & Brown, Inc. 127,472 3,480 * Andrew Corp. 158,884 3,478 * Patterson-UTI Energy, Inc. 148,700 3,466 * Macrovision Corp. 98,106 3,455 * Scholastic Corp. 68,640 3,455 Meredith Corp. 96,744 3,449 Mack-Cali Realty Corp. REIT 110,956 3,442 * Markel Corp. 19,143 3,439 * Jacobs Engineering Group Inc. 52,081 3,437 Forest City Enterprise Class A 88,766 3,435 * Earthlink, Inc. 280,456 3,413 * American Tower Corp. Class A 360,015 3,409 * Pixar, Inc. 94,724 3,406 * Energizer Holdings, Inc. 178,331 3,397 * Novell, Inc. 737,770 3,386 * Cerner Corp. 67,730 3,382 W.R. Berkley Corp. 62,926 3,379 * Triton PCS, Inc. 114,886 3,372 Donaldson Co., Inc. 86,091 3,344 The MONY Group Inc. 96,459 3,335 Raymond James Financial, Inc. 93,389 3,317 * Openwave Systems Inc. 338,287 3,312 Helmerich & Payne, Inc. 98,993 3,304 Trustmark Corp. 136,217 3,301 * Coach, Inc. 84,647 3,300 * Alkermes, Inc. 124,966 3,294 * GlobespanVirata, Inc. 254,078 3,290 * ResMed Inc. 61,002 3,289 9 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Arden Realty Group, Inc. REIT $ 124,079 $ 3,288 * National Processing, Inc. 101,025 3,283 Lyondell Chemical Co. 229,072 3,283 * National-Oilwell, Inc. 157,918 3,255 * Enterasys Networks, Inc. 367,630 3,254 Pier 1 Imports Inc. 187,586 3,253 Sky Financial Group, Inc. 159,883 3,252 IKON Office Solutions, Inc. 278,059 3,251 * Advent Software, Inc. 64,997 3,247 * Pharmaceutical Product Development, Inc. 100,427 3,245 * NVR, Inc. 15,897 3,243 * Mediacom Communications Corp. 177,512 3,241 * Lands' End, Inc. 64,597 3,240 American Financial Group, Inc. 131,968 3,240 New Plan Excel Realty Trust REIT 169,500 3,229 Reinsurance Group of America, Inc. 96,862 3,224 Metris Cos., Inc. 125,242 3,220 * Exult Inc. 200,546 3,219 * The Cheesecake Factory 92,469 3,215 21st Century Insurance Group 164,828 3,206 Ethan Allen Interiors, Inc. 77,037 3,204 HON Industries, Inc. 115,554 3,195 CNF Inc. 95,232 3,195 * Silicon Laboratories Inc. 94,569 3,188 CBRL Group, Inc. 108,278 3,188 * Priority Healthcare Corp. Class B 90,361 3,180 * Edwards Lifesciences Corp. 114,968 3,177 Dial Corp. 184,734 3,168 * The Titan Corp. 126,583 3,158 Vectren Corp. 131,643 3,157 * West Corp. 126,547 3,156 HCC Insurance Holdings, Inc. 114,532 3,155 * Furniture Brands International Inc. 98,347 3,149 * Mandalay Resort Group 147,121 3,148 Student Loan Corp. 39,002 3,144 Roslyn Bancorp, Inc. 179,061 3,134 * Sybase, Inc. 198,751 3,132 * BOK Financial Corp. 99,366 3,131 * Ticketmaster Class B 191,007 3,131 USX-U.S. Steel Group 172,819 3,130 Hubbell Inc. Class B 106,355 3,125 * Toll Brothers, Inc. 71,148 3,123 Lee Enterprises, Inc. 85,817 3,121 Greater Bay Bancorp 109,200 3,121 Regency Centers Corp. REIT 112,266 3,115 Cullen/Frost Bankers, Inc. 100,884 3,115 Leucadia National Corp. 107,735 3,110 * Ariba, Inc. 504,745 3,109 * Hanover Compressor Co. 122,957 3,106 OM Group, Inc. 46,916 3,105 * OSI Pharmaceuticals, Inc. 67,821 3,102 * United Rentals, Inc. 136,331 3,095 * Henry Schein, Inc. 83,518 3,093 Cummins Inc. 80,222 3,092 * Newfield Exploration Co. 87,053 3,091 * Fisher Scientific International Inc. 105,842 3,091 * TriQuint Semiconductor, Inc. 251,999 3,090 * Timberland Co. 83,169 3,084 * Borders Group, Inc. 155,373 3,083 GATX Corp. 94,537 3,074 * Affiliated Managers Group, Inc. 43,597 3,073 Skywest, Inc. 120,514 3,067 Polaris Industries, Inc. 52,622 3,039 * KEMET Corp. 171,206 3,039 * Acxiom Corp. 173,711 3,035 Great Plains Energy, Inc. 120,413 3,034 Weingarten Realty Investors REIT 63,208 3,034 Colonial BancGroup, Inc. 215,308 3,034 * Reebok International Ltd. 114,151 3,025 Webster Financial Corp. 95,844 3,022 * Aviron 60,724 3,020 Philadelphia Suburban Corp. 132,388 2,985 AmerUs Group Co. 83,269 2,984 * Renal Care Group, Inc. 92,953 2,984 * Internet Security Systems, Inc. 92,992 2,981 Massey Energy Co. 143,796 2,981 Crane Co. 116,227 2,980 * DoubleClick Inc. 262,478 2,977 * Techne Corp. 80,752 2,976 * Extended Stay America, Inc. 181,256 2,973 Interactive Data Corp. 210,148 2,971 * Maxtor Corp. 467,689 2,965 * Rightchoice Managed Care, Inc. 42,344 2,964 Roper Industries Inc. 59,871 2,964 IDACORP, Inc. 72,937 2,961 * Career Education Corp. 86,088 2,951 * Conseco Inc. 660,773 2,947 Ruby Tuesday, Inc. 142,596 2,942 * Orthodontic Centers of America, Inc. 96,393 2,940 RPM Inc. 203,283 2,939 Dole Food Co. 109,501 2,938 Camden Property Trust REIT 79,987 2,936 * Mentor Graphics Corp. 124,501 2,935 Citizens Banking Corp. 88,920 2,924 Sierra Pacific Resources 193,526 2,913 * Integrated Circuit Systems, Inc. 128,859 2,911 Doral Financial Corp. 93,142 2,907 * Charles River Laboratories, Inc. 86,713 2,903 10 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- IMC Global Inc. $ 223,233 $ 2,902 * Quantum Corp.- DLT & Storage Systems 293,984 2,896 Washington Federal Inc. 112,225 2,893 * Performance Food Group Co. 82,089 2,887 First Midwest Bancorp 98,863 2,886 Old National Bancorp 113,949 2,877 * Extreme Networks, Inc. 222,704 2,873 * Owens-Illinois, Inc. 286,925 2,866 Peabody Energy Corp. 101,611 2,864 Callaway Golf Co. 149,314 2,859 * Sycamore Networks, Inc. 533,227 2,858 Worldcom, Inc. - MCI Group 224,680 2,853 Diagnostic Products Corp. 64,882 2,852 York International Corp. 74,691 2,848 Solutia, Inc. 203,052 2,847 * Retek Inc. 95,129 2,842 * Zale Corp. 67,748 2,837 * Adaptec, Inc. 195,512 2,835 * Service Corp. International 567,594 2,832 Precision Castparts Corp. 100,160 2,830 BRE Properties Inc. Class A REIT 91,282 2,826 StanCorp Financial Group, Inc. 59,719 2,822 Harman International Industries, Inc. 62,450 2,816 * Continental Airlines, Inc. Class B 107,099 2,807 * Numerical Technologies, Inc. 79,702 2,806 * Columbia Sportswear Co. 84,173 2,803 * Advanced Fibre Communications, Inc. 158,537 2,801 * Manugistics Group, Inc. 132,833 2,800 * Dal-Tile International Inc. 120,366 2,799 Graco, Inc. 71,589 2,796 United Dominion Realty Trust REIT 193,577 2,788 * Varco International, Inc. 185,942 2,785 * IndyMac Bancorp, Inc. 118,892 2,780 Capitol Federal Financial 133,264 2,777 Fair, Isaac & Co. Inc. 43,910 2,767 AK Steel Corp. 242,466 2,759 * Six Flags, Inc. 179,143 2,755 Westamerica Bancorporation 69,600 2,754 * Zebra Technologies Corp. Class A 49,594 2,753 John Wiley & Sons Class A 119,370 2,749 * Alliance Gaming Corp. 93,506 2,748 Pogo Producing Co. 104,366 2,742 * Wind River Systems Inc. 152,675 2,734 * InterMune Inc. 55,416 2,730 Valhi, Inc. 214,152 2,720 First American Corp. 145,000 2,717 Highwood Properties, Inc. REIT 104,395 2,709 * Alleghany Corp. 14,036 2,701 Florida Rock Industries, Inc. 73,829 2,701 BorgWarner, Inc. 51,656 2,699 * CheckFree Corp. 149,584 2,693 Rayonier Inc. 53,095 2,680 Harsco Corp. 77,991 2,675 BancorpSouth, Inc. 161,063 2,674 Post Properties, Inc. REIT 75,008 2,664 * Knight Trading Group, Inc. 241,623 2,663 * Keane, Inc. 147,440 2,658 * GTech Holdings Corp. 58,665 2,657 * Ingram Micro, Inc. Class A 153,224 2,654 * Activision, Inc. 101,930 2,651 Dillard's Inc. 165,628 2,650 * Scotts Co. 55,583 2,646 Hawaiian Electric Industries Inc. 65,634 2,644 Werner Enterprises, Inc. 108,303 2,632 Hudson United Bancorp 91,698 2,632 WGL Holdings Inc. 90,415 2,628 * Forest Oil Corp. 93,055 2,625 Allegheny Technologies Inc. 156,635 2,624 * Neurocrine Biosciences, Inc. 51,100 2,622 * Apria Healthcare Group Inc. 104,899 2,621 * Northwest Airlines Corp. Class A 166,927 2,621 Interstate Bakeries Corp. 108,310 2,619 Peoples Energy Corp. 68,907 2,614 Independence Community Bank Corp. 114,693 2,610 Jefferies Group, Inc. 61,614 2,607 Ryder System, Inc. 117,268 2,597 * CEC Entertainment Inc. 59,775 2,594 * Covance, Inc. 114,239 2,593 * Silicon Valley Bancshares 96,959 2,592 * Cor Therapeutics, Inc. 108,129 2,588 * Saks Inc. 276,104 2,579 Arch Coal, Inc. 113,602 2,579 * Vignette Corp. 479,464 2,575 Lancaster Colony Corp. 72,426 2,572 La-Z-Boy Inc. 117,789 2,570 * LifePoint Hospitals, Inc. 75,415 2,567 Staten Island Bancorp, Inc. 157,154 2,563 * Medarex, Inc. 142,459 2,559 * Priceline.com Inc. 436,876 2,543 People's Bank 119,524 2,541 * Coventry Health Care Inc. 127,009 2,534 RGS Energy Group Inc. 67,210 2,527 ArvinMeritor, Inc. 128,573 2,525 United Bankshares, Inc. 87,102 2,514 Provident Financial Group, Inc. 95,577 2,512 Park National Corp. 27,077 2,511 * SonicWALL, Inc. 128,763 2,503 * Incyte Genomics, Inc. 127,915 2,502 11 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * The Corporate Executive Board Co. $ 67,881 $ 2,491 * Interneuron Pharmaceutical, Inc. 224,331 2,488 Ametek Aerospace Products Inc. 77,561 2,473 Commerce Group, Inc. 65,495 2,469 Applebee's International, Inc. 72,079 2,465 Kennametal, Inc. 60,965 2,455 Hollinger International, Inc. 209,453 2,451 AGL Resources Inc. 106,351 2,448 * Grant Prideco, Inc. 212,796 2,447 * Axcelis Technologies, Inc. 189,260 2,440 Aptargroup Inc. 69,604 2,438 * STERIS Corp. 133,386 2,437 Global Payments Inc. 70,793 2,435 * Myriad Genetics, Inc. 46,239 2,434 * Education Management Corp. 67,087 2,432 * Payless ShoeSource, Inc. 43,274 2,430 Corn Products International, Inc. 68,862 2,427 * CNET Networks, Inc. 269,325 2,416 * Journal Register Co. 114,732 2,414 * Plantronics, Inc. 94,145 2,414 * Regeneron Pharmaceuticals, Inc. 85,487 2,407 Community First Bankshares, Inc. 93,465 2,401 * The Yankee Candle Company, Inc. 105,683 2,395 Thomas & Betts Corp. 113,158 2,393 Worthington Industries, Inc. 168,525 2,393 NDCHealth Corp. 69,161 2,390 First Industrial Realty Trust REIT 76,630 2,383 Cousins Properties, Inc. REIT 97,749 2,381 Great Lakes Chemical Corp. 98,012 2,380 * Stericycle, Inc. 38,989 2,374 * AnnTaylor Stores Corp. 67,788 2,373 * Liberate Technologies, Inc. 206,534 2,371 * Isis Pharmaceuticals, Inc. 106,772 2,369 * 7-Eleven, Inc. 202,167 2,367 * Insight Communications Co., Inc. 97,912 2,366 * Red Hat, Inc. 333,115 2,365 Western Resources, Inc. 137,486 2,365 Commercial Federal Corp. 100,024 2,351 * Exelixis, Inc. 141,411 2,350 * FreeMarkets, Inc. 97,828 2,345 * Electronics for Imaging, Inc. 104,902 2,340 WPS Resources Corp. 63,965 2,338 * Flowserve Corp. 87,823 2,337 * R.H. Donnelley Corp. 80,416 2,336 AGCO Corp. 147,895 2,334 * Tularik, Inc. 97,000 2,330 * Photronics Labs Inc. 74,213 2,327 MDC Holdings, Inc. 61,461 2,323 Monsanto Co. 68,509 2,316 * Immunomedics Inc. 114,026 2,310 * Scios, Inc. 97,130 2,309 * Getty Images, Inc. 100,455 2,308 * Polo Ralph Lauren Corp. 86,086 2,304 * McAfee.com Corp. 67,921 2,303 * Commonwealth Telephone Enterprises, Inc. 50,582 2,301 Universal Corp. VA 63,199 2,301 Big Lots Inc. 220,827 2,297 Downey Financial Corp. 55,588 2,293 * J.B. Hunt Transport Services, Inc. 98,720 2,290 * Endo Pharmaceuticals Holdings, Inc. 196,230 2,290 * Western Digital Corp. 365,149 2,289 * CV Therapeutics, Inc. 43,998 2,289 Ventas, Inc. REIT 198,676 2,285 Trinity Industries, Inc. 83,940 2,281 * Corvis Corp. 705,421 2,279 Cooper Tire & Rubber Co. 142,745 2,278 * ADVO, Inc. 52,946 2,277 * Ascential Software Corp. 560,492 2,270 * Kinder Morgan Management, LLC 59,831 2,268 * THQ Inc. 46,746 2,266 Storage USA, Inc. REIT 53,614 2,257 FactSet Research Systems Inc. 64,542 2,256 * NPS Pharmaceuticals Inc. 58,871 2,255 * Oakley, Inc. 138,515 2,252 * Transkaryotic Therapies, Inc. 52,586 2,251 Whitney Holdings 51,314 2,250 Brady Corp. Class A 61,455 2,249 Pittston Brink's Group 101,719 2,248 * Legato Systems, Inc. 172,954 2,243 * Williams Communications Group, Inc. 954,266 2,243 Odyssey Re Holdings Corp. 126,680 2,242 Western Gas Resources, Inc. 69,243 2,238 Reckson Associates Realty Corp. REIT 95,762 2,237 Pennzoil-Quaker State Co. 154,757 2,236 Healthcare Realty Trust Inc. REIT 79,850 2,236 Media General, Inc. Class A 44,821 2,233 Piedmont Natural Gas, Inc. 62,383 2,233 * K-V Pharmaceutical Co. Class A 75,603 2,230 Washington REIT 89,435 2,226 * SeaChange International, Inc. 65,205 2,225 * Informatica Corp. 152,848 2,218 * United Stationers, Inc. 65,679 2,210 * Kopin Corp. 157,856 2,210 Hilb, Rogal and Hamilton Co. 39,421 2,210 * Aeroflex, Inc. 116,588 2,207 CenterPoint Properties Corp. REIT 44,276 2,205 12 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * IGEN International, Inc. $ 54,886 $ 2,201 Arrow International, Inc. 55,060 2,199 * Emmis Communications, Inc. 92,929 2,197 First Citizens BancShares Class A 22,442 2,194 Tupperware Corp. 113,920 2,193 Federal Signal Corp. 98,404 2,191 * Spinnaker Exploration Co. 53,148 2,188 CBL & Associates Properties, Inc. REIT 69,441 2,187 * Varian Semiconductor Equipment Associates, Inc. 63,192 2,186 HRPT Properties Trust REIT 251,916 2,182 Essex Property Trust, Inc. REIT 44,125 2,180 Carlisle Co., Inc. 58,937 2,179 * Cognex Corp. 85,085 2,179 * Powerwave Technologies, Inc. 126,043 2,178 * Mueller Industries Inc. 65,328 2,172 * AmeriPath, Inc. 67,855 2,172 Cambrex Corp. 49,771 2,170 * Bio-Rad Laboratories, Inc. Class A 34,184 2,164 * Kulicke & Soffa Industries, Inc. 126,160 2,164 UGI Corp. Holding Co. 71,618 2,163 Weis Markets, Inc. 77,288 2,161 Albemarle Corp. 89,930 2,158 PNM Resources Inc. 77,051 2,154 * Credence Systems Corp. 115,940 2,153 * Teletech Holdings Inc. 150,231 2,153 * Micromuse Inc. 143,441 2,152 * FEI Co. 68,208 2,149 Dreyer's Grand Ice Cream, Inc. 55,720 2,146 * PETsMART, Inc. 217,937 2,145 * Province Healthcare Co. 69,477 2,144 * Plexus Corp. 80,555 2,140 * Alamosa Holdings, Inc. 179,313 2,139 * Mid Atlantic Medical Services, Inc. 94,201 2,138 * Concurrent Computer Corp. 143,757 2,135 * Southern Union Co. 113,191 2,135 * CommScope, Inc. 100,058 2,128 * Too Inc. 77,365 2,128 Blyth, Inc. 91,479 2,127 * Direct Focus, Inc. 68,150 2,126 * Chesapeake Energy Corp. 321,495 2,125 * Cytec Industries, Inc. 78,667 2,124 Shurgard Storage Centers, Inc. Class A REIT 66,340 2,123 * Hercules, Inc. 211,685 2,117 * Pharmaceutical Resources, Inc. 62,600 2,116 Alexander & Baldwin, Inc. 79,232 2,115 * Tekelec 116,745 2,114 * MedQuist, Inc. 72,187 2,111 * Jack in the Box Inc. 76,664 2,111 * Varian, Inc. 64,885 2,105 Regis Corp. 81,550 2,102 Banta Corp. 71,212 2,102 Alpharma, Inc. Class A 79,474 2,102 * InVision Technologies, Inc. 70,436 2,098 * Avocent Corp. 86,379 2,095 * Midway Games Inc. 139,192 2,089 * Chico's FAS, Inc. 52,554 2,086 First Financial Bancorp 118,117 2,085 * Haemonetics Corp. 61,191 2,076 * CuraGen Corp. 92,781 2,076 * Philadelphia Consolidated Holding Corp. 55,021 2,075 Delta & Pine Land Co. 91,580 2,072 Chelsea Property Group REIT 42,191 2,072 Developers Diversified Realty Corp. REIT 108,379 2,070 ONEOK, Inc. 115,860 2,067 * Tom Brown, Inc. 76,511 2,067 Blockbuster Inc. Class A 81,843 2,062 * Speedway Motorsports, Inc. 81,546 2,061 * Tetra Tech, Inc. 103,423 2,059 DQE Inc. 108,772 2,059 * Respironics, Inc. 59,405 2,058 * Black Box Corp. 38,838 2,054 Black Hills Corp. 60,654 2,053 * Renaissance Learning, Inc. 67,270 2,050 IDEX Corp. 59,351 2,048 * Price Communications Corp. 107,243 2,047 * Cox Radio, Inc. 80,296 2,046 American Capital Strategies, Ltd. 72,066 2,043 * Cirrus Logic 154,518 2,043 * Macromedia, Inc. 114,697 2,042 * Anixter International Inc. 70,337 2,040 Horace Mann Educators Corp. 96,043 2,038 Vector Group Ltd. 61,982 2,036 * Administaff, Inc. 74,108 2,031 Granite Construction Co. 84,292 2,030 Superior Industries International, Inc. 50,361 2,027 * The Neiman Marcus Group, Inc. Class A 65,161 2,025 * Linens 'n Things, Inc. 79,388 2,024 Lincoln Electric Holdings 82,778 2,023 * Meridian Gold Co. 195,822 2,023 * First Horizon Pharmaceutical Corp. 68,793 2,022 * Electronics Boutique Holdings Corp. 50,600 2,021 Church & Dwight, Inc. 75,786 2,018 * Intergraph Corp. 146,693 2,016 * Airgas, Inc. 133,196 2,014 * Accredo Health, Inc. 50,727 2,014 * MKS Instruments, Inc. 74,457 2,013 13 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Houston Exploration Co. $ 59,898 $ 2,011 * Inrange Technologies Corp. 162,482 2,007 Invacare Corp. 59,421 2,003 * AmeriTrade Holding Corp. 338,169 2,002 Crompton Corp. 221,847 1,997 * Manhattan Associates, Inc. 68,388 1,994 * Borland Software Corp. 127,279 1,993 * Sotheby's Holdings Class A 119,602 1,987 * Inhale Therapeutic Systems 107,032 1,985 * Insight Enterprises, Inc. 80,701 1,985 * Cubist Pharmaceuticals, Inc. 55,157 1,983 * Forward Air Corp. 58,400 1,981 * Atlantic Coast Airlines Holdings Inc. 84,840 1,976 * WebEx Communications, Inc. 79,506 1,976 Prentiss Properties Trust REIT 71,970 1,976 Providian Financial Corp. 555,530 1,972 * Flowers Foods, Inc. 49,377 1,971 * Interwoven, Inc. 201,956 1,967 * Edison Schools Inc. 99,982 1,965 Nationwide Financial Services, Inc. 47,385 1,965 * ITT Educational Services, Inc. 53,279 1,964 * Ralcorp Holdings, Inc. 86,413 1,962 * LTX Corp. 93,617 1,960 * American Axle & Manufacturing Holdings, Inc. 91,690 1,960 * ADTRAN Inc. 76,660 1,956 * Arbitron Inc. 57,271 1,956 LNR Property Corp. 62,698 1,955 * Pure Resources, Inc. 96,867 1,947 Cooper Cos., Inc. 38,948 1,947 * RSA Security Inc. 111,430 1,946 Sensient Technologies Corp. 93,476 1,945 * Sonic Automotive, Inc. 82,987 1,945 UMB Financial Corp. 48,619 1,945 Energen Corp. 78,821 1,943 New Jersey Resources Corp. 41,513 1,943 * Southwest Bancorporation of Texas, Inc. 63,980 1,937 Cleco Corp. 88,141 1,936 * Barra, Inc. 41,120 1,936 * Elantec Semiconductor, Inc. 50,409 1,936 * Advanced Digital Information Corp. 120,605 1,935 * NBTY, Inc. 164,761 1,928 * Sylvan Learning Systems, Inc. 86,985 1,920 * WFS Financial, Inc. 79,901 1,918 * Hotel Reservations Network, Inc. 41,585 1,913 * Imation Corp. 88,433 1,908 * Impath, Inc. 42,865 1,908 * Tuesday Morning Corp. 105,345 1,906 * Itron, Inc. 62,884 1,905 First BanCorp Puerto Rico 66,835 1,905 * SanDisk Corp. 132,172 1,903 * American Italian Pasta Co. 45,204 1,900 Fremont General Corp. 242,145 1,894 * Foundry Networks, Inc. 232,316 1,893 * Dycom Industries, Inc. 112,907 1,887 * Westport Resources Corp. 108,728 1,886 Standard Pacific Corp. 77,562 1,886 * Cal Dive International, Inc. 76,289 1,883 * Photon Dynamics, Inc. 41,234 1,882 The Timken Co. 116,309 1,882 * Therasense, Inc. 75,850 1,881 * Hot Topic, Inc. 59,904 1,880 * Shaw Group, Inc. 79,952 1,879 Roadway Corp 51,180 1,878 * S1 Corp. 115,865 1,875 Mills Corp. REIT 70,779 1,874 * RealNetworks, Inc. 315,395 1,873 * Allegiance Telecom, Inc. 225,903 1,873 * Ohio Casualty Corp. 116,644 1,872 * Centennial CommunicationsCorp. Class A 182,762 1,871 Chateau Communities, Inc. REIT 62,549 1,870 Briggs & Stratton Corp. 43,797 1,870 * Sapient Corp. 242,137 1,869 Realty Income Corp. REIT 63,570 1,869 * Sonic Corp. 51,847 1,866 * Genencor International Inc. 116,896 1,866 Tecumseh Products Co. Class A 36,767 1,862 * Pacific Sunwear of California 91,101 1,860 Annaly Mortgage Management Inc. REIT 116,255 1,860 * Thoratec Corp. 109,372 1,859 * Insituform Technologies Inc. Class A 72,647 1,858 Manufactured Home Communities, Inc. REIT 59,513 1,857 * Inktomi Corp. 276,605 1,856 * Alpha Industries, Inc. 85,111 1,855 TrustCo Bank NY 147,427 1,853 Mentor Corp. 64,800 1,851 * Siliconix, Inc. 67,387 1,848 * Cyberonics, Inc. 69,562 1,845 * Sonus Networks, Inc. 398,387 1,841 * Microtune, Inc. 78,438 1,840 * Key Energy Services, Inc. 199,617 1,836 * Pathmark Stores, Inc. 74,440 1,836 * SERENA Software, Inc. 84,394 1,835 * Syncor International Corp. 64,059 1,835 * IDEXX Laboratories Corp. 64,323 1,834 Overseas Shipholding Group Inc. 81,496 1,834 14 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Heartland Express, Inc. $ 65,953 $ 1,832 * Metro One Telecommunications, Inc. 60,500 1,830 Technitrol, Inc. 66,215 1,829 PolyOne Corp. 186,256 1,825 Pan Pacific Retail Properties, Inc. REIT 63,452 1,822 * Argosy Gaming Co. 55,961 1,820 * Cymer, Inc. 68,019 1,818 * AFC Enterprises, Inc. 64,039 1,818 MAF Bancorp, Inc. 61,535 1,815 G & K Services, Inc. 56,148 1,814 * Choice Hotel International, Inc. 81,797 1,812 * FileNET Corp. 89,270 1,811 * DSP Group Inc. 77,846 1,811 Liberty Corp. 43,996 1,810 Federal Realty Investment Trust REIT 78,691 1,810 * DuPont Photomasks, Inc. 41,592 1,807 * Great Atlantic & Pacific Tea Co., Inc. 75,913 1,805 * Advanced Energy Industries, Inc. 67,686 1,803 * Hain Celestial Group, Inc. 65,644 1,803 Minerals Technologies, Inc. 38,640 1,802 * Fossil, Inc. 85,817 1,802 Ruddick Corp. 112,685 1,802 * Quanta Services, Inc. 116,699 1,801 SL Green Realty Corp. REIT 58,627 1,800 The Pep Boys(Manny, Moe & Jack) 104,955 1,800 * Ryan's Family Steak Houses, Inc. 83,040 1,798 * SEACOR SMIT Inc. 38,716 1,796 * The InterCept Group, Inc. 43,910 1,796 * AMN Healthcare Services, Inc. Pfd. 65,500 1,795 Manitowac Co., Inc. 57,605 1,792 The Macerich Co. REIT 67,282 1,790 * Rent-A-Center, Inc. 53,276 1,788 * PRIMEDIA Inc. 410,719 1,787 Summit Properties, Inc. REIT 71,381 1,786 * Secure Computing Corp. 86,672 1,781 * MSC Industrial Direct Co., Inc. Class A 89,952 1,777 Casey's General Stores 119,222 1,776 Strayer Education, Inc. 36,425 1,775 Alfa Corp. 79,035 1,774 * Kronos, Inc. 36,633 1,772 Nordson Corp. 66,803 1,764 Taubman Co. REIT 118,734 1,763 * Mobile Mini, Inc. 44,943 1,758 * Enzo Biochem, Inc. 74,789 1,758 Matthews International Corp. 71,494 1,757 * The Children's Place Retail Stores, Inc. 64,723 1,757 * MAXIMUS, Inc. 41,733 1,755 * Action Performance Cos., Inc. 57,215 1,751 * AirGate PCS, Inc. 38,445 1,751 * Bruker Daltonics, Inc. 107,097 1,751 * Albany Molecular Research, Inc. 65,948 1,747 Vintage Petroleum, Inc. 120,774 1,745 * Beverly Enterprises, Inc. 202,493 1,742 * Yellow Corp. 69,276 1,739 Gables Residential Trust REIT 58,604 1,735 * Veeco Instruments, Inc. 48,102 1,734 Ferro Corp. 67,210 1,734 S & T Bancorp, Inc. 71,407 1,734 * Champion Enterprises, Inc. 140,728 1,732 * Silicon Storage Technology, Inc. 179,673 1,732 Nationwide Health Properties, Inc. REIT 92,607 1,731 * Coherent, Inc. 55,941 1,730 FelCor Lodging Trust, Inc. REIT 103,489 1,729 Mine Safety Appliances Co. 43,059 1,729 CH Energy Group, Inc. 39,764 1,729 * Emisphere Technologies, Inc. 54,166 1,728 Louisiana-Pacific Corp. 204,785 1,728 * Evergreen Resources, Inc. 44,677 1,725 Delphi Financial Group, Inc. 51,794 1,725 * Palm Harbor Homes, Inc. 71,994 1,724 * Learning Tree International, Inc. 61,793 1,724 * Progress Software Corp. 99,664 1,722 * ESS Technology, Inc. 80,895 1,720 Chittenden Corp. 62,255 1,718 American Greetings Corp. Class A 124,659 1,718 State Auto Financial Corp. 105,714 1,717 * Loral Space & Communications 572,076 1,711 Provident Bankshares Corp. 70,330 1,709 Texas Industries, Inc. 46,274 1,708 CNA Surety Corp. 110,148 1,707 * Travelocity.com Inc. 59,396 1,705 Harleysville National Corp. 72,366 1,704 * ONI Sytems Corp. 271,648 1,703 * Sunrise Assisted Living, Inc. 58,493 1,703 Cabot Oil & Gas Corp. Class A 70,719 1,701 * Corinthian Colleges, Inc. 41,593 1,701 * PSS World Medical, Inc. 208,393 1,700 Churchill Downs, Inc. 45,995 1,700 * UCAR International, Inc. 158,758 1,699 * Perrigo Co. 143,682 1,698 * Cell Therapeutics, Inc. 70,351 1,698 Texas Regional Bancshares, Inc. 44,795 1,695 Longs Drug Stores, Inc. 72,511 1,695 * Trimeris, Inc. 37,567 1,689 * Waste Connections, Inc. 54,425 1,687 15 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Footstar Inc. $ 53,833 $ 1,685 J. M. Smucker Co. 47,574 1,683 * MRO Software Inc. 71,904 1,681 * InFocus Corp. 76,291 1,680 * Reliant Resources, Inc. 101,546 1,677 * Handspring, Inc. 248,357 1,674 UniSource Energy Corp. 91,685 1,668 * Verity, Inc. 82,287 1,666 Inter-Tel, Inc. 86,621 1,665 Baldor Electric Co. 79,605 1,664 * Sola International Inc. 85,758 1,664 * WMS Industries, Inc. 83,078 1,662 Burlington Coat Factory Warehouse Corp. 98,896 1,661 * Mercury Computer Systems, Inc. 42,447 1,660 * Select Medical Corp. 103,026 1,657 * Cell Genesys, Inc. 71,273 1,656 Hooper Holmes, Inc. 184,941 1,655 Thor Industries, Inc. 44,644 1,654 C & D Technology Inc. 72,358 1,653 Atmos Energy Corp. 77,713 1,651 * Power Integrations, Inc. 72,239 1,650 Belden, Inc. 69,947 1,648 RPC Inc. 93,118 1,644 Northwest Natural Gas Co. 64,360 1,641 CVB Financial Corp. 70,111 1,641 * Microsemi Corp. 55,086 1,636 * Electro Scientific Industries, Inc. 54,502 1,636 Dime Community Bancshares 58,277 1,635 USFreightways Corp. 52,052 1,634 * Men's Wearhouse, Inc. 79,119 1,634 The South Financial Group, Inc. 91,770 1,629 * Plains Resources Inc. 66,175 1,629 Boston Private Financial Holdings, Inc. 73,526 1,623 * Papa John's International, Inc. 59,003 1,621 * Kindred Healthcare, Inc. 31,164 1,621 * NCO Group, Inc. 70,763 1,620 Susquehanna Bancshares, Inc. 77,702 1,620 * Time Warner Telecom Inc. 91,545 1,619 Value Line, Inc. 33,404 1,619 Kimball International, Inc. Class B 106,809 1,618 * Stone Energy Corp. 40,964 1,618 Olin Corp. 100,181 1,617 * Gaylord Entertainment Co.Class A 65,715 1,617 * DMC Stratex Networks, Inc. 207,709 1,616 GenCorp, Inc. 114,511 1,616 Georgia Gulf Corp. 87,202 1,613 John H. Harland Co. 72,991 1,613 * Value Vision International, Inc. Class A 82,262 1,612 * DIANON Systems, Inc. 26,502 1,611 McGrath Rent Corp. 42,944 1,611 EDO Corp. 60,831 1,609 Carpenter Technology Corp. 60,390 1,608 Potlatch Corp. 54,728 1,605 * ProQuest Company 47,238 1,602 * Kansas City Southern Industries, Inc. 113,360 1,602 * Unilab Corp. 63,798 1,601 Cubic Corp. 31,152 1,600 * Power-One, Inc. 153,613 1,599 Carbo Ceramics Inc. 40,833 1,599 * Landstar System, Inc. 22,049 1,599 * XOMA Ltd. 162,105 1,597 * Hutchinson Technology, Inc. 68,684 1,595 * Durect Corp. 137,444 1,593 * Exar Corp. 76,337 1,592 H.B. Fuller Co. 55,314 1,591 * Checkpoint Systems, Inc. 118,436 1,587 Franklin Electric, Inc. 19,340 1,586 * Agile Software Corp. 92,062 1,585 * HNC Software, Inc. 76,912 1,584 F.N.B. Corp. 60,102 1,584 Brandywine Realty Trust REIT 75,026 1,581 * Scientific Games Corp. 179,809 1,573 Fleming Cos., Inc. 85,017 1,573 Presidential Life Corp. 76,489 1,573 * Boston Beer Co., Inc. Class A 91,514 1,569 * Stellent Inc. 53,094 1,569 * Acclaim Entertainment Inc. 295,419 1,566 * Vitria Technology, Inc. 244,702 1,564 * AirTran Holdings, Inc. 236,819 1,563 * Documentum, Inc. 71,896 1,562 Wabtec Corp. 126,914 1,561 * Stillwater Mining Co. 84,377 1,561 Glatfelter 100,137 1,560 * ARAMARK Corp. 57,900 1,558 * Rambus Inc. 194,845 1,557 * Dendrite International, Inc. 110,875 1,556 * Pediatrix Medical Group, Inc. 45,823 1,554 Cathay Bancorp, Inc. 24,193 1,550 * CUNO Inc. 50,803 1,549 * Hollywood Casino Corp. 147,552 1,549 * Amylin Pharmaceuticals, Inc. 169,479 1,549 UIL Holdings Corp. 30,179 1,548 Corus Bankshares Inc. 34,069 1,547 Glimcher Realty Trust REIT 82,022 1,544 Kelly Services, Inc. Class A 70,539 1,544 * dELiA*s Corp. 248,913 1,543 * Rogers Corp. 50,817 1,540 16 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Centex Construction Products, Inc. $ 48,018 $ 1,539 * NRG Energy, Inc. 98,910 1,533 * IHOP Corp. 52,246 1,531 Crawford & Co. Class B 130,547 1,530 * Global Industries Ltd. 171,748 1,529 * Digene Corp. 51,806 1,528 * SuperGen, Inc. 106,594 1,526 * Schuler Homes Inc. Class A 76,834 1,525 * Brooks Automation, Inc. 37,486 1,525 * Ixia 118,604 1,524 Home Properties of New York, Inc. REIT 48,220 1,524 Modine Manufacturing Co. 65,300 1,523 * Novavax, Inc. 108,043 1,523 * Jones Lang Lasalle Inc. 84,392 1,523 * Symyx Technologies 71,645 1,522 Westcorp, Inc. 81,320 1,518 * The Wet Seal, Inc. Class A 64,454 1,518 * Silgan Holdings, Inc. 58,014 1,518 * Coinstar, Inc. 60,687 1,517 * Rayovac Corp. 86,162 1,516 Harbor Florida Bancshares, Inc. 89,113 1,515 Health Care REIT, Inc. 62,142 1,513 Sterling Bancshares, Inc. 120,750 1,512 * Penwest Pharmaceuticals Co. 75,210 1,508 * McDermott International, Inc. 122,839 1,507 The Toro Co. 33,455 1,505 * The Ackerley Group, Inc. 85,939 1,504 * Hollywood Entertainment Corp. 105,169 1,503 * XM Satellite Radio Holdings, Inc. 81,652 1,499 * Pixelworks, Inc. 93,339 1,499 * Digital River, Inc. 94,139 1,499 * Newpark Resources, Inc. 189,703 1,499 * Martek Biosciences Corp. 68,882 1,498 * Bally Total Fitness Holding Corp. 69,379 1,496 * La Quinta Properties, Inc. 260,570 1,496 * Genta Inc. 105,081 1,495 United National Bancorp 62,275 1,495 * UICI 110,257 1,488 * Littelfuse, Inc. 56,718 1,488 Apogee Enterprises, Inc. 94,001 1,487 Stewart & Stevenson Services, Inc. 78,990 1,486 * C-COR Electronics, Inc. 101,855 1,484 * First Consulting Group, Inc. 94,649 1,481 Kaydon Corp. 65,269 1,480 * webMethods, Inc. 88,141 1,477 * I.D. Systems, Inc. 139,402 1,476 * Cable Design Technologies Corp. 107,775 1,474 * CorVel Corp. 44,970 1,473 * Redback Networks Inc. 372,132 1,470 N L Industries, Inc. 96,224 1,469 * Specialty Laboratories, Inc. 53,448 1,469 * Netegrity, Inc. 75,875 1,469 * Magma Design Automation, Inc. 48,500 1,469 Regal-Beloit Corp. 67,260 1,466 * Cerus Corp. 32,047 1,466 * Commerce One, Inc. 410,644 1,466 * Steel Dynamics, Inc. 126,045 1,463 * Triarc Cos., Inc. Class A 60,202 1,463 * Read Rite Corp. 221,034 1,461 * ImmunoGen, Inc. 87,958 1,458 First Charter Corp. 81,881 1,458 * BroadVision, Inc. 531,674 1,457 * California Pizza Kitchen, Inc. 58,849 1,457 * Entravision Communications Corp. 121,882 1,456 Glenborough Realty Trust, Inc. REIT 75,064 1,456 * Leap Wireless International, Inc. 69,378 1,455 * Aztar Corp. 79,389 1,453 Rollins, Inc. 72,537 1,451 Libbey, Inc. 44,361 1,448 Great American Financial Resources, Inc. 77,184 1,447 * Adolor Corp. 80,616 1,447 Bob Evans Farms, Inc. 58,820 1,445 * Tanox, Inc. 78,092 1,445 * Embarcadero Technologies, Inc. 59,666 1,444 * Alaska Air Group, Inc. 49,599 1,443 * Charming Shoppes, Inc. 271,373 1,441 UAL Corp. 106,030 1,431 * Ista Pharmaceuticals Inc. 212,818 1,430 Sovran Self Storage, Inc. REIT 45,845 1,428 * Teledyne Technologies, Inc. 87,349 1,423 * Handleman Co. 95,769 1,422 The Trust Co. of New Jersey 56,343 1,420 * Dionex Corp. 55,658 1,420 Claire's Stores, Inc. 93,926 1,418 Millennium Chemicals, Inc. 112,490 1,417 * Oceaneering International, Inc. 63,991 1,415 * Gartner, Inc. Class A 121,000 1,414 * NeoPharm, Inc. 56,363 1,412 * Ionics, Inc. 47,013 1,412 * MTR Gaming Group Inc. 88,114 1,410 * SPS Technologies, Inc. 40,358 1,409 Clarcor Inc. 51,901 1,409 Spartech Corp. 68,516 1,408 * Collins & Aikman Corp. 182,579 1,406 * Sybron Dental Specialties, Inc. 65,131 1,406 * VISX Inc. 106,072 1,405 * FLIR Systems, Inc. 37,040 1,405 First Financial Holdings, Inc. 58,085 1,404 * Universal Compression Holdings, Inc. 47,568 1,403 17 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Gene Logic Inc. $ 74,433 $ 1,402 Landauer, Inc. 41,425 1,402 * MICROS Systems, Inc. 55,787 1,400 * Infonet Services Corp. 571,169 1,399 UCBH Holdings, Inc. 49,200 1,399 Walter Industries, Inc. 123,709 1,399 * Pegasus Communications Corp. Class A 134,304 1,398 Vital Signs, Inc. 40,011 1,396 * Triad Guaranty, Inc. 38,478 1,396 Chemical Financial Corp. 46,209 1,394 Thornburg Mortgage, Inc. 70,528 1,389 Cato Corp. Class A 73,505 1,389 Interpool, Inc. 71,904 1,384 Sun Communities, Inc. REIT 37,060 1,380 * Identix, Inc. 94,587 1,380 * Eclipsys Corp. 82,382 1,380 * Playtex Products, Inc. 141,482 1,379 * Immucor Inc. 114,559 1,372 * Antigenics, Inc. 83,624 1,371 * Cross Country, Inc. 51,750 1,371 * On Assignment, Inc. 59,365 1,364 * US Oncology, Inc. 180,811 1,363 Madison Gas & Electric Co. 51,520 1,363 ABM Industries 43,444 1,362 * Hovnanian Enterprises Class A 63,934 1,361 * Versicor, Inc. 66,684 1,357 St. Mary Land & Exploration Co. 64,036 1,357 * Tollgrade Communications, Inc. 40,672 1,356 * SeeBeyond Technology Corp. 139,747 1,356 * Zoll Medical Corp. 34,732 1,352 Elcor Corp. 48,572 1,350 Airborne, Inc. 91,006 1,350 * Boca Resorts, Inc. Class A 102,985 1,349 R.L.I. Corp. 29,967 1,349 Amcore Financial 60,310 1,348 Hancock Holding Co. 31,215 1,343 * Group 1 Automotive, Inc. 47,122 1,343 * Tellium, Inc. 215,189 1,341 Arrow Financial Corp. 45,723 1,335 Wausau-Mosinee Paper Corp. 110,229 1,334 Arch Chemicals, Inc. 57,449 1,333 * Interdigital Communications Corp. 137,240 1,331 Nash-Finch Co. 42,782 1,331 * Radio One, Inc. Class D 73,870 1,330 * Playboy Enterprises, Inc. Class B 78,714 1,329 * ChipPAC, Inc. 178,851 1,327 Holly Corp. 68,890 1,326 * Vicor Corp. 81,832 1,326 * Station Casinos, Inc. 118,275 1,323 Newport Corp. 68,357 1,318 * Meritage Corp. 25,669 1,317 * Impax Laboratories, Inc. 97,900 1,316 * Superior Consultant Holdings Corp. 156,588 1,315 * URS Corp. 47,979 1,315 * Fresh Del Monte Produce Inc. 86,957 1,309 Barnes Group, Inc. 54,389 1,305 * Caminus Corp. 56,729 1,305 * American Management Systems, Inc. 72,126 1,304 * Theragenics Corp. 132,199 1,303 Independent Bank Corp. (MA) 60,391 1,298 * ATMI, Inc. 54,366 1,297 * International Multifoods Corp. 54,226 1,296 CTS Corp. 81,409 1,294 * Intermagnetics General Corp. 49,940 1,293 Chesapeake Corp. of Virginia 46,371 1,290 * Atwood Oceanics, Inc. 36,980 1,289 * Harmonic, Inc. 107,078 1,287 * Crestline Capital Corp. 41,418 1,286 PFF Bancorp, Inc. 46,440 1,282 * Buckeye Technology, Inc. 111,297 1,280 * Digital Insight Corp. 57,166 1,278 * eFunds Corp. 92,845 1,277 * Kroll Inc. 84,461 1,275 * Syntel, Inc. 98,594 1,275 Longview Fibre Co. 107,876 1,274 * Xicor, Inc. 114,711 1,273 * Aurora Foods Inc. 252,004 1,273 * Clark/Bardes Inc. 50,440 1,273 American States Water Co. 36,313 1,269 * NYFIX, Inc. 63,308 1,267 * DDi Corp. 127,974 1,259 Pulitzer, Inc. 24,650 1,257 * Transaction Systems Architects, Inc. 102,528 1,257 Koger Equity, Inc. REIT 77,027 1,256 Simmons First National 39,045 1,255 Schweitzer-Mauduit International, Inc. 52,703 1,252 * SurModics, Inc. 34,322 1,251 * Terex Corp. 71,330 1,251 * Knight Transportation, Inc. 66,186 1,243 Florida East Coast Industries, Inc. Class A 53,632 1,242 * CryoLife Inc. 41,374 1,241 * Gardner Denver Inc. 55,497 1,239 Kansas City Life Insurance Co. 33,333 1,237 K-Swiss, Inc. 37,189 1,237 * Credit Acceptance Corp. 138,734 1,235 * Veritas DGC Inc. 66,727 1,234 MacDermid, Inc. 72,787 1,234 * Rare Hospitality International Inc. 54,630 1,231 * InfoSpace, Inc. 599,925 1,230 * IKOS Systems, Inc. 103,724 1,229 18 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Commercial Metals Co. $ 35,123 $ 1,229 JP Realty Inc. REIT 51,601 1,229 * PAREXEL International Corp. 85,562 1,228 Westbanco Inc. 58,079 1,227 * Noven Pharmaceuticals, Inc. 69,101 1,227 * Akamai Technologies, Inc. 206,313 1,225 Russell Corp. 81,624 1,225 * Unit Corp. 94,764 1,222 Flagstar Bancorp, Inc. 60,697 1,222 * Bio-Technology General Corp. 148,408 1,221 Riggs National Corp. 87,323 1,220 Wellman, Inc. 78,582 1,217 * RehabCare Group, Inc. 41,100 1,217 * InterVoice-Brite, Inc. 94,819 1,214 * CDI Corp. 63,806 1,212 Farmer Brothers, Inc. 4,568 1,211 NACCO Industries, Inc. Class A 21,292 1,209 JLG Industries, Inc. 113,312 1,207 * ANADIGICS, Inc. 79,090 1,206 * NTELOS Inc. 77,803 1,205 First Sentinel Bancorp Inc. 96,241 1,205 Central Parking Corp. 61,271 1,203 * Dril-Quip, Inc. 49,872 1,202 Hancock Fabrics, Inc. 91,286 1,200 Watsco, Inc. 84,247 1,196 Redwood Trust, Inc. REIT 49,269 1,194 Town & Country Trust REIT 57,111 1,194 OceanFirst Financial Corp. 49,367 1,193 * Trimble Navigation Ltd. 73,504 1,192 * Atlas Air Worldwide Holdings, Inc. 81,311 1,191 MeriStar Hospitality Corp. REIT 83,714 1,189 The Standard Register Co. 64,047 1,187 * Vail Resorts Inc. 66,928 1,187 * Drexler Technology Corp. 49,751 1,183 * Closure Medical Corp. 50,614 1,182 First Source Corp. 57,036 1,181 * Atrix Laboratories, Inc. 57,161 1,178 * EGL, Inc. 84,438 1,178 * CardioDynamics International Corp. 177,968 1,176 Argonaut Group, Inc. 60,104 1,176 * Therma-Wave Inc. 78,653 1,174 * Kenneth Cole Productions, Inc. 66,297 1,173 * Quicksilver Resources, Inc. 61,499 1,172 * Forrester Research, Inc. 58,057 1,169 * Corrections Corp. of America 62,896 1,167 Coca-Cola Bottling Co. 30,803 1,166 * OraSure Technologies, Inc. 95,976 1,166 Watts Industries Class A 77,562 1,163 * PC Connection, Inc. 78,385 1,162 * Remec, Inc. 116,350 1,162 * Aftermarket Technology Corp. 71,731 1,162 * bebe stores, inc 62,172 1,160 Bowne & Co., Inc. 90,538 1,159 LSI Industries Inc. 66,528 1,158 * Energy Conversion Devices, Inc. 61,018 1,158 * School Specialty, Inc. 50,533 1,156 * Grey Wolf, Inc. 389,271 1,156 * The Gymboree Corp. 96,772 1,154 Community Trust Bancorp Inc. 48,521 1,152 * Traffix, Inc. 158,833 1,152 * Foamex International, Inc. 141,857 1,149 Anchor Bancorp Wisconsin Inc. 64,716 1,148 BSB Bancorp, Inc. 48,398 1,148 Southwest Gas Corp. 51,258 1,146 * Offshore Logistics, Inc. 64,450 1,145 * CompuCredit Corp. 97,327 1,145 * Sonosite, Inc. 44,537 1,144 * Entrust, Inc. 112,002 1,141 * Bone Care International, Inc. 66,542 1,140 F & M Bancorp 44,788 1,140 Wallace Computer Services, Inc. 59,989 1,139 * Montana Power Co. 198,092 1,139 * Applica Inc. 126,321 1,138 Empire District Electric Co. 54,196 1,138 * ViroPharma Inc. 49,562 1,137 * Casella Waste Systems, Inc. 76,708 1,136 * Esterline Technologies Corp. 70,904 1,135 * Quaker City Bancorp, Inc. 38,022 1,135 * Per-Se Technologies, Inc. 105,360 1,133 Seacoast Banking Corp. of Florida Class A 24,391 1,132 Connecticut Water Services, Inc. 38,259 1,131 IRT Property Co. REIT 106,643 1,130 Avista Corp. 85,221 1,130 * Tejon Ranch Co. 47,220 1,129 * MatrixOne, Inc. 86,860 1,128 * BE Avionics Inc. 122,789 1,126 * Conmed Corp. 56,379 1,125 NUI Corp. 47,430 1,124 * DiamondCluster International, Inc. 85,755 1,123 Getty Realty Holding Corp. 59,594 1,123 * Avant! Corp. 54,733 1,121 * 1-800-FLOWERS.COM, Inc. 71,869 1,121 * Bright Horizons Family Solutions, Inc. 40,036 1,121 Alico, Inc. 35,737 1,120 * The Topps Co., Inc. 92,172 1,120 Berry Petroleum Class A 71,330 1,120 * Swift Energy Co. 55,361 1,118 * National Western Life Insurance Co. Class A 10,049 1,117 * Kendle International Inc. 55,025 1,109 * Water Pik Technologies, Inc. 127,628 1,109 * MRV Communications Inc. 261,267 1,108 * Aerosonic Corp. 58,226 1,107 19 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Flushing Financial Corp. $ 62,171 $ 1,107 * E.Piphany Inc. 126,506 1,102 * Echelon Corp. 77,674 1,100 * Rainbow Technologies, Inc. 148,356 1,098 * CIMA Labs Inc. 30,331 1,096 * Pre-Paid Legal Services, Inc. 50,050 1,096 * Ultratech Stepper, Inc. 66,307 1,095 * Consolidated Graphics, Inc. 56,879 1,095 CB Bancshares Inc./Hawaii 30,930 1,094 * RailAmerica, Inc. 75,588 1,093 * DigitalThink, Inc. 101,006 1,091 Brown Shoe Company, Inc. 67,086 1,089 * SafeNet, Inc. 57,498 1,089 Thomas Nelson, Inc. 98,037 1,088 EastGroup Properties, Inc. REIT 47,025 1,085 Owens & Minor, Inc. Holding Co. 58,489 1,082 * Shoe Carnival, Inc. 77,816 1,079 Mid-State Bancshares 66,213 1,078 Dover Downs Entertainment, Inc. 70,369 1,077 * First Republic Bank 44,559 1,076 Pioneer Standard Electronics Inc. 84,709 1,076 LandAmerica Financial Group, Inc. 37,464 1,075 U.S.B. Holding Co., Inc. 63,723 1,074 BP Prudhoe Bay Royalty Trust 72,265 1,073 * Quiksilver, Inc. 62,358 1,073 * First Federal Financial Corp. 41,753 1,070 * Entegris Inc. 97,557 1,069 * Input/Output, Inc. 130,158 1,069 * ProBusiness Services, Inc. 56,821 1,068 * Concord Communications, Inc. 51,725 1,068 * NCI Building Systems, Inc. 60,140 1,064 * Maverick Tube Corp. 82,106 1,063 * CSK Auto Corp. 106,836 1,063 Milacron Inc. 67,230 1,063 AREA Bancshares Corp. 54,579 1,063 Parkway Properties Inc. REIT 32,007 1,063 International Bancshares Corp. 25,200 1,062 * Information Resources, Inc. 127,841 1,061 * TriPath Imaging, Inc. 140,778 1,060 * Molecular Devices Corp. 50,781 1,060 * Boron, LePore & Associates, Inc. 76,852 1,060 * Shuffle Master, Inc. 67,545 1,058 * Terayon Communications Systems, Inc. 127,487 1,054 * UbiquiTel Inc. 141,442 1,054 Pacific Northwest Bancorp 51,484 1,053 * Stewart Enterprises, Inc. Class A 175,839 1,053 * Hyperion Solutions Corp. 52,944 1,051 Bandag, Inc. 30,248 1,051 * Guess ?, Inc. 140,028 1,050 * Nautica Enterprises, Inc. 82,098 1,050 Movado Group, Inc. 54,534 1,047 Southwest Bancorp, Inc. 59,404 1,046 * Wackenhut Corp. 42,142 1,045 Great Southern Bancorp, Inc. 34,186 1,043 * National Dentex Corp. 43,095 1,042 Ameron International Corp. 15,044 1,041 Pitt Des Moines, Inc. 33,567 1,041 USEC Inc. 145,275 1,040 * Cole National Corp. Class A 62,850 1,040 Pilgrim's Pride Corp. 76,655 1,039 * Asyst Technologies, Inc. 81,298 1,037 * IDX Systems Corp. 79,718 1,037 * Merix Corp. 60,108 1,037 * J. Jill Group, Inc. 48,113 1,036 * Electroglas, Inc. 70,116 1,036 * CMGI Inc. 635,154 1,035 * Standard Microsystem 66,674 1,035 * Luminex Corp. 60,988 1,034 * Federal Agricultural Mortgage Corp. Class A 35,494 1,033 * Kensey Nash Corp. 57,308 1,032 Chemed Corp. 30,358 1,029 Pacific Capital Bancorp 37,015 1,029 * SBA Communications Corp. 78,712 1,025 * Wright Medical Group, Inc. 57,200 1,024 * Cobalt Corp. 160,365 1,023 * Witness Systems, Inc. 76,794 1,023 Brookline Bancorp, Inc. 62,178 1,022 * Sirius Satellite Radio, Inc. 87,873 1,022 Omega Financial Corp. 31,720 1,020 FBL Financial Group, Inc. Class A 61,136 1,020 * PLATO Learning, Inc. 61,392 1,020 * RMH Teleservices, Inc. 53,367 1,019 Spartan Motors, Inc. 159,027 1,018 First Commonwealth Financial Corp. 88,338 1,018 * Oak Technology, Inc. 73,907 1,016 Sauer-Danfoss, Inc. 126,921 1,015 ChemFirst Inc. 42,342 1,015 * Korn/Ferry International 95,235 1,014 Sealed Air Corp. Cvt. Pfd. 24,451 1,013 NCH Corp. 19,393 1,011 * Nortek, Inc. 36,239 1,011 Bel Fuse, Inc.- Class B 40,350 1,011 * Next Level Communications, Inc. 301,640 1,010 * Factory 2-U Stores Inc. 50,360 1,009 * Aether Systems, Inc. 109,548 1,008 * SkillSoft Corp. 38,846 1,007 * Right Management Consultants, Inc. 57,960 1,003 * TransMontaigne Inc. 183,647 1,001 Otter Tail Corp. 34,346 1,001 NBT Bancorp, Inc. 69,046 1,000 Kramont Realty Trust REIT 68,328 998 Penn Virginia Corp. 29,254 998 * Ocwen Financial Corp. 117,563 997 20 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Irwin Financial Corp. $ 58,597 $ 996 * Key Production Company, Inc. 58,418 993 LSB Corporation 78,150 992 * Spectrasite Holdings, Inc. 275,802 990 * Loudcloud, Inc. 233,028 988 Coachmen Industries, Inc. 82,282 987 * FuelCell Energy, Inc. 54,414 987 CPB, Inc. 33,562 987 * Universal Electronics, Inc. 57,317 986 * Championship Auto Racing Teams, Inc. 61,300 986 Advanced Marketing Services 54,019 986 * American Medical Security Group, Inc. 79,147 985 * Lexicon Genetics Inc. 85,316 985 * Hologic, Inc. 105,942 984 * Alliance Imaging, Inc. 80,600 983 * Lifeline Systems, Inc. 41,086 983 * Momentum Business Applications, Inc. 49,395 983 * Presstek, Inc. 107,116 982 * Modis Professional Services Inc. 137,485 982 * ArthroCare Corp. 54,682 980 Gorman-Rupp Co. 36,513 980 * Tractor Supply Co. 28,684 978 * infoUSA Inc. 140,716 977 Greater Delaware Valley Savings Bank 35,687 976 * Pericom Semiconductor Corp. 67,231 975 * Alliance Semiconductor Corp. 80,667 974 * Intuitive Surgical, Inc. 97,112 974 * Radiant Systems, Inc. 84,698 974 Hughes Supply, Inc. 31,490 972 * Dollar Thrifty AutomotiveGroup, Inc. 62,632 971 * IDT Corp. CLass B 58,342 969 * Capstone Turbine Corp. 178,773 967 * OPNET Technologies, Inc. 67,107 967 Northwest Bancorp, Inc. 84,492 967 * Diversa Corp. 68,309 967 * United Surgical Partners Intl., Inc. 45,650 965 First Financial Corp.-Indiana 21,963 963 Medford Bancorp, Inc. 45,462 962 * United Capital Corp. 45,124 961 Helix Technology Corp. 42,510 959 * Nastech Pharmaceutical Co., Inc. 61,841 959 * Alexander's, Inc. REIT 16,840 958 * Stein Mart, Inc. 114,565 958 Fleetwood Enterprises, Inc. 84,532 958 * Chiles Offshore, Inc. 47,967 954 * Provident Financial Holdings, Inc. 36,586 951 Middlesex Water Co. 27,897 946 * Mastec Inc. 136,100 946 * Pacificare Health Systems, Inc. 59,117 946 * Nuevo Energy Co. 62,879 943 Advanta Corp. Class A 94,869 943 * Avid Technology, Inc. 77,556 942 * Orbital Sciences Corp. 228,049 942 * Progenics Pharmaceuticals, Inc. 50,942 941 * Tyler Technologies, Inc. 206,734 941 * Young Broadcasting Inc. 52,330 939 First Place Financial Corp. 59,606 939 * World Acceptance Corp. 128,573 939 World Fuel Services Corp. 51,285 939 Tredegar Corp. 49,293 937 CIRCOR International, Inc. 50,701 935 * Artesyn Technologies, Inc. 100,344 934 * SONUS Pharmaceuticals, Inc. 115,617 934 Kaneb Services LLC 47,678 932 * PICO Holdings, Inc. 74,431 930 * RadiSys Corp. 47,322 930 * FSI International, Inc. 100,546 927 * MedCath Corp. 55,200 926 * iManage, Inc. 117,223 925 SJW Corp. 10,839 924 Spiegel, Inc. Class A 203,065 924 Consolidated-Tomoka Land Co. 46,420 923 * Charles River Associates Inc. 44,976 922 * AmSurg Corp. 33,900 921 * IDT Corp. 47,042 918 * Phoenix Technologies Ltd. 78,832 918 * Cadiz Inc. 114,277 917 Reliance Steel & Aluminum Co. 34,900 916 * Safeguard Scientifics, Inc. 261,498 915 A. Schulman Inc. 67,019 915 * Acuity Brands, Inc. 75,548 914 * Insurance Auto Auctions, Inc. 62,972 914 * Ventana Medical Systems, Inc. 40,288 911 * The Buckle, Inc. 40,781 909 * Esperion Therapeutics, Inc. 123,417 907 * LCC International, Inc. Class A 124,037 906 * Capital Corp. of the West 61,385 905 Zenith National Insurance Corp. 32,366 904 Resource Bancshares Mortgage Group, Inc. 78,748 902 Plains All American Pipeline, L.P. 34,685 901 * Neurogen Corp. 51,533 901 * Coldwater Creek Inc. 42,528 901 Wolverine World Wide, Inc. 59,828 900 * EMS Technologies, Inc. 55,987 900 * Actuant Corp. 26,765 899 * LendingTree, Inc. 152,197 898 * Sinclair Broadcast Group, Inc. 94,733 896 * Dobson Communications Corp. 104,786 895 Universal Health Realty Income REIT 38,078 895 * TETRA Technologies, Inc. 42,693 894 21 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Iomega Corp. $ 106,654 $ 891 * Silicon Image, Inc. 236,389 889 * HPL Technologies, Inc. 49,700 887 * Key3Media Group, Inc. 166,389 887 * Spherion Corp. 90,785 887 Crown American Realty Trust REIT 113,465 885 Standard Commercial Tobacco Co. 53,631 885 * ParkerVision, Inc. 42,098 884 JDN Realty Corp. REIT 71,660 884 Peoples Holding Co. 23,841 882 * Revlon, Inc. Class A 132,392 882 Correctional Properties Trust REIT 52,169 882 * World Wrestling Federation Entertainment, Inc. 67,001 881 * Avatar Holding, Inc. 37,366 880 Mid Atlantic Realty Trust REIT 56,555 879 * City Holding Co. 72,795 876 * Keynote Systems Inc. 93,528 874 Corporate Office Properties Trust, Inc. REIT 73,660 874 * Strategic Diagnostics Inc. 123,000 873 Interface, Inc. 155,173 871 Columbia Bancorp 53,074 870 * Friendly Ice Cream Corp. 219,659 870 Enron Corp. 1,447,914 869 Lindsay Manufacturing Co. 44,895 869 * Duane Reade Inc. 28,600 868 * Lifecore Biomedical Inc. 77,867 867 * EMCORE Corp. 64,416 866 Quaker Chemical Corp. 42,021 866 * Trammell Crow Co. 73,828 864 X-Rite Inc. 101,465 863 * Mesa Air Group Inc. 114,820 863 * PRI Automation, Inc. 42,211 863 * Net.B@nk, Inc. 82,245 862 National Presto Industries, Inc. 30,963 859 * Giant Industries, Inc. 93,000 858 * ABIOMED, Inc. 54,209 858 General Cable Corp. 65,439 857 MTS Systems Corp. 84,650 856 * Benihana Inc. Class A 56,844 856 Santander BanCorp 43,988 854 * MetaSolv, Inc. 108,535 852 * Local Financial Corp. 60,798 851 * American Physicians Capital, Inc. 39,100 850 Associated Estates Realty Corp. REIT 92,587 850 * United Therapeutics Corp. 81,567 849 * Integrated Silicon Solution, Inc. 69,367 849 * BankUnited Financial Corp. 57,123 848 * Curon Medical Inc. 192,760 848 * Royal Appliance Manufacturing Co. 169,630 846 * Aquila, Inc. 49,349 844 * Regeneration Technologies, Inc. 82,760 843 * Universal Access Global Holdings Inc. 179,625 842 * Cumulus Media Inc. Class A 52,001 841 * Deltagen, Inc. 91,370 841 * Acacia Research Corp. 75,760 839 Atlantic Tele-Network, Inc. 59,240 838 * United Defense Industries Inc. 39,700 836 Commercial Net Lease Realty REIT 64,221 835 * Pharmacopeia, Inc. 60,032 834 * Nuance Communications Inc. 91,575 833 Fidelity Bancorp, Inc. 30,049 833 * The Sports Authority, Inc. 146,006 832 * Southwestern Energy Co. 79,928 831 Vesta Insurance Group, Inc. 103,814 831 * US Airways Group, Inc. 130,781 829 Capstead Mortgage Corporation 35,226 828 Kilroy Realty Corp. REIT 31,493 827 * Aphton Corp. 56,649 827 * Caliper Technologies Corp. 52,893 826 Curtiss-Wright Corp. 17,289 826 * The Neiman Marcus Group, Inc. Class B 27,740 824 PS Business Parks, Inc. REIT 26,151 824 * Chordiant Software, Inc. 103,915 822 Colonial Properties Trust REIT 26,367 821 Greif Brothers Corp. Class A 24,881 820 * Chalone Wine Group Ltd. 84,462 819 * Navigators Group, Inc. 40,976 818 * Insignia Financial Group, Inc. 75,645 817 * ILEX Oncology, Inc. 30,196 817 * Sykes Enterprises, Inc. 87,419 816 * Telular Corp. 88,911 816 Woodward Governor Co. 14,000 816 * International Specialty Products, Inc. 90,851 813 * Diametrics Medical, Inc. 143,549 812 * SONICblue Inc. 200,972 812 * Zomax Inc. 101,563 811 * Jo-Ann Stores, Inc. Class A 113,279 810 * Joy Global Inc. 48,000 806 Centennial Bancorp 109,236 806 First South Bancorp, Inc. 24,147 806 * Inet Technologies, Inc. 76,138 805 * Petrocorp, Inc. 89,380 804 * Encore Wire Corp. 66,389 803 * Daisytek International Corp. 60,977 803 * NetRatings, Inc. 51,172 802 * Columbia Banking System, Inc. 61,455 802 22 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Atlanta Sosnoff Capital $ 77,839 $ 802 * Volt Information Sciences Inc. 46,881 802 Granite State Bankshares, Inc. 33,934 801 * Buca, Inc. 49,400 801 * Gentiva Health Services, Inc. 36,474 801 California Independent Bancorp 35,307 800 * Ciber, Inc. 84,587 799 * Manufacturers' Services Limited 127,878 799 * MSC.Software Corp. 51,100 797 Heritage Financial Corp. 66,538 794 Gold Banc Corp., Inc. 111,612 794 Newmil Bancorp, Inc. 54,050 792 * Pegasus Solutions Inc. 55,692 791 WSFS Financial Corp. 45,553 790 * Sequa Corp. Class A 16,619 790 * DVI, Inc. 45,869 789 * Strattec Security Corp. 22,347 788 * Ulticom, Inc. 78,212 787 * BioMarin Pharmaceutical Inc. 58,462 786 * QRS Corp. 55,610 784 * Clayton Williams Energy, Inc. 59,850 784 Oriental Financial Group Inc. 42,134 784 * William Lyon Homes, Inc. 51,386 784 * Oregon Steel Mills, Inc. 158,232 783 * UnitedGlobalCom Inc. Class A 156,487 782 * Nu Horizons Electronics Corp. 76,013 781 * Sipex Corp. 60,578 778 * Novoste Corp. 88,935 777 * I-STAT Corp. 98,506 777 Talx Corp. 31,100 777 * Gulf Island Fabrication, Inc. 62,095 777 * Anaren Microwave, Inc. 44,766 775 Merchants Bancshares, Inc. 32,229 773 Tremont Corp. 26,760 773 CPI Corp. 46,563 773 * W-H Energy Services, Inc. 40,543 772 * Lone Star Technologies, Inc. 43,751 770 Community Bank System, Inc. 29,376 770 * OfficeMax, Inc. 170,687 768 * Trendwest Resorts, Inc. 30,300 767 * The Medicines Co. 66,140 767 * Rudolph Technologies, Inc. 22,300 765 * Plug Power, Inc. 87,528 765 Ryerson Tull, Inc. 69,265 762 * Maxygen Inc. 43,288 761 Bassett Furniture Industries, Inc. 54,229 760 Hudson River Bancorp. Inc. 34,615 758 United Fire & Casualty Co. 26,403 756 * Labor Ready, Inc. 147,819 755 * Midwest Express Holdings, Inc. 51,728 755 * The TriZetto Group, Inc. 57,408 753 * Department 56 Inc. 87,519 753 Tanger Factory Outlet Centers, Inc. REIT 36,082 752 * PDI, Inc. 33,705 752 * Kforce Inc. 119,471 751 W.P. Carey & Co. LLC 32,356 751 The Stride Rite Corp. 114,369 749 * Avanex Corp. 126,952 749 Central Vermont Public Service Corp. 44,826 749 UniFirst Corp. 33,146 747 First Financial Bankshares, Inc. 24,822 747 Sizzlers Property Investors, Inc. REIT 82,820 747 * Layne Christensen Co. 93,077 745 Lennox International Inc. 76,646 743 * CenterSpan Communications Corp. 78,098 742 National Health Investors REIT 50,110 742 * Celeritek, Inc. 55,367 741 Oxford Industries, Inc. 31,408 741 * K2 Inc. 102,771 741 * Syntroleum Corp. 104,277 740 Caraustar Industries, Inc. 106,703 739 * Integra LifeSciences Holdings 28,000 738 NYMAGIC, Inc. 45,836 738 * The Boyds Collection, Ltd. 108,884 737 * Symmetricom Inc. 96,831 737 BankAtlantic Bancorp, Inc. Class A 80,084 735 * Vivus, Inc. 150,794 734 Keithley Instruments Inc. 43,415 734 * Applied Molecular Evolution 59,562 733 * Matria Healthcare, Inc. 21,171 733 Wabash National Corp. 93,861 732 State Financial Services Corp. Class A 63,378 732 * Gadzooks, Inc. 52,992 728 AMCOL International Corp. 101,072 728 * Ocular Sciences, Inc. 31,157 726 * Skechers U.S.A., Inc. 49,569 725 * Transcontinental Realty Investors, Inc. REIT 45,152 725 * Material Sciences Corp. 71,562 724 MutualFirst Financial Inc. 47,853 723 * Beasley Broadcast Group, Inc. 55,446 721 * Lydall, Inc. 72,067 721 Myers Industries, Inc. 52,790 721 * Arena Pharmaceuticals, Inc. 59,831 720 * The Good Guys, Inc. 180,560 719 * Aviall Inc. 95,156 718 * Magellan Health Services, Inc. 112,978 717 * F5 Networks, Inc. 33,296 717 * Quovadx, Inc. 78,356 717 Lance, Inc. 50,002 715 * Arris Group Inc. 72,992 712 * Perry Ellis International Corp. 74,977 712 23 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Audiovox Corp. $ 95,335 $ 711 Met-Pro Corp. 54,252 711 * NS Group Inc. 94,974 710 Dimon Inc. 98,612 710 * SITEL Corp. 295,379 709 * Wackenhut Corrections Corp. 51,123 709 Riviana Foods, Inc. 39,903 708 United Mobile Homes, Inc. REIT 58,112 708 * VTEL Corp. 164,155 706 * Roxio, Inc. 42,638 706 Oregon Trail Financial Corp. 40,196 705 * Financial Federal Corp. 22,554 705 * The Dress Barn, Inc. 28,145 704 AAR Corp. 77,906 702 * Virage Logic Corporation 36,472 701 * Aspect Medical Systems, Inc. 69,969 700 * Stratos Lightwave, Inc. 113,255 697 * UNOVA, Inc. 120,036 696 * Alexion Pharmaceuticals, Inc. 28,483 696 * Petroleum Helicopters, Inc. 35,415 696 * Argonaut Technologies Inc. 165,640 696 * Embrex, Inc. 38,781 694 * Miravant Medical Technologies 72,099 693 * TranSwitch Corp. 153,621 691 * hi/fn, inc 47,747 691 * ePresence, Inc. 164,391 689 * Parker Drilling Co. 186,637 689 * eResearch Technology, Inc. 58,758 689 * A.C. Moore Arts & Crafts, Inc. 23,293 687 * Unifi, Inc. 94,763 687 Cascade Bancorp 42,504 686 * Workflow Management, Inc. 143,617 685 * iGATE Capital Corp. 167,026 685 Horizon Financial Corp. 57,968 684 * Titanium Metals Corp. 170,576 681 Steelcase Inc. 46,233 681 * Zebra Technologies Corp. Class B 12,240 679 * Sorrento Networks Corp. 189,253 679 * Griffin Land & Nurseries, Inc. 49,788 678 * FalconStor Software, Inc. 74,711 677 * General Maritime Corp. 67,460 675 * Hawthorne Financial Corp. 35,112 674 * S&K Famous Brands Inc. 74,733 674 * Saba Software, Inc. 128,990 673 * Spanish Broadcasting System, Inc. 68,001 673 Midas Inc. 58,335 671 * Syms Corp. 118,084 671 * Cygnus Inc. 127,623 670 Herbalife International Class A 47,109 670 * Peco II, Inc. 112,253 669 St. Francis Capital Corp. 28,920 669 Ameriserv Financial Inc. 139,159 668 * Valence Technology Inc. 196,037 661 * Three-Five Systems, Inc. 41,440 659 * Hoenig Group, Inc. 62,830 658 * Mykrolis Corp. 41,100 658 * Northwest Pipe Co. 40,194 657 * The Profit Recovery Group International, Inc. 80,473 656 * Hector Communications Corp. 39,376 656 * QuickLogic Corp. 130,811 654 Bryn Mawr Bank Corp. 23,122 653 * Tweeter Home Entertainment Group, Inc. 22,500 653 * Centra Software, Inc. 81,533 652 Winston Hotels, Inc. REIT 84,126 651 Blair Corp. 28,781 650 Coastal Bancorp, Inc. 22,464 649 * Tower Automotive, Inc. 71,865 649 * Enesco Group, Inc. 102,983 649 Green Mountain Power Corp. 34,751 648 * Remington Oil & Gas Corp. 37,342 646 * Somera Communications, Inc. 85,362 644 Landry's Restaurants, Inc. 34,537 644 * Corvas International, Inc. 98,309 644 * Zygo Corp. 40,369 642 Angelica Corp. 59,183 642 * Helen of Troy Corp. 51,628 641 Massbank Corp. 17,891 640 * Stanley Furniture Company, Inc. 26,900 639 * Dura Automotive Systems, Inc. 58,127 639 * GenesisIntermedia Inc. 108,263 639 Ampco-Pittsburgh Corp. 59,374 638 Virco Manufacturing Corp. 63,650 637 * Proxim, Inc. 64,018 635 * Geron Corp. 72,947 635 TF Financial Corp. 29,984 633 Century Bancorp, Inc. Class A 31,610 632 * Management Network Group Inc. 91,490 631 * Extended Systems Inc. 84,386 631 * Portal Software, Inc. 302,432 629 * SRI/Surgical Express, Inc. 39,163 627 Covest Bankshares, Inc. 33,503 627 * Heidrick & Struggles International, Inc. 34,500 626 * Numerex Corp. 83,426 626 Meridian Bioscience Inc. 103,835 625 * IntraBiotics Pharmaceuticals, Inc. 228,955 625 * Wireless Facilities, Inc. 92,831 625 * Viewpoint Corp. 91,539 623 BancFirst Ohio Corp. 25,713 621 * ePlus Inc. 64,830 619 * TTM Technologies, Inc. 61,100 618 * Mail-Well, Inc. 150,675 618 * Old Dominion Freight Line, Inc. 48,691 617 24 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Acceptance Insurance Cos. Inc. $ 121,172 $ 617 * Todd Shipyards Corp. 69,251 616 * KCS Energy, Inc. 197,444 616 L. S. Starrett Co. Class A 29,464 614 * UTStarcom, Inc. 21,547 614 * Ampal-American Israel Corp. 107,700 614 Calgon Carbon Corp. 73,485 614 * Lantronix, Inc. 97,075 614 * Carriage Services, Inc. 116,098 612 * Oakwood Homes Corp. 115,437 612 * Actuate Software Corp. 115,897 611 * Axsys Technologies, Inc. 60,974 610 Florida East Coast Industries, Inc.- Class B 29,133 609 * ANSYS, Inc. 24,656 608 * IXYS Corp. 75,043 607 * Danielson Holdings Corp. 136,611 607 RFS Hotel Investors, Inc. REIT 53,213 606 * Virage, Inc. 182,464 604 * Cell Pathways, Inc. 86,646 603 * Equinix, Inc. 207,583 602 Waypoint Financial Corp. 39,894 602 * Software Spectrum, Inc. 38,408 602 First Federal Bancshares of Arkansas, Inc. 26,125 601 * Aspen Technologies, Inc. 35,741 600 HEICO Corp. 39,726 599 * Titan Pharmaceuticals, Inc. 60,962 598 * Mapics Inc. 96,977 597 * Sequenom, Inc. 55,883 596 Phillips-Van Heusen Corp. 54,479 594 American Land Lease, Inc. REIT 45,230 593 * Sirenza Microdevices, Inc. 97,271 592 * Navigant International, Inc. 51,442 589 * Organogenesis, Inc. 122,501 588 Summit Bancshares, Inc. 32,488 587 * Internet Capital Group, Inc. 484,628 586 * America West Holdings Corp.Class B 167,267 585 * Value City Department Stores, Inc. 124,431 585 * Neoforma, Inc. 20,041 584 * Kadant Inc. 40,189 583 Three Rivers Bancorp, Inc. 46,537 582 * Instinet Group Inc. 57,619 579 * Del Monte Foods Co. 68,000 579 Conestoga Enterprises, Inc. 18,100 578 * Pinnacle Systems, Inc. 72,781 578 * F.Y.I. Inc. 17,248 578 * Genzyme Molecular Oncology 72,032 576 * Genuity Inc. 363,951 575 Community Banks, Inc. 21,297 575 * Main Street & Main, Inc. 116,400 575 * EPIQ Systems, Inc. 29,700 575 * Lazare Kaplan International, Inc. 83,180 574 * PC-Tel, Inc. 59,025 573 * Wesco International, Inc. 115,681 573 * OTG Software, Inc. 57,230 572 * Centillium Communications, Inc. 72,727 572 Titan International, Inc. 120,539 571 * Maxxam Inc. 32,629 571 * Torch Offshore, Inc. 95,100 571 Apex Mortgage Capital, Inc. REIT 50,698 570 Prime Group Realty Trust REIT 61,718 570 HF Financial Corp. 51,464 569 * Silicon Graphics, Inc. 270,637 568 * Mortons Restaurant Group 49,596 568 * Take-Two Interactive Software, Inc. 35,100 568 Alamo Group, Inc. 39,806 567 * Stratus Properties Inc. 66,451 565 Stepan Co. 23,220 564 Frontier Oil Corp. 33,877 564 * Digital Lightwave, Inc. 60,036 563 * Applied Innovation Inc. 90,538 561 Cash America International Inc. 66,028 561 * Ace Cash Express, Inc. 59,367 558 * Consolidated Freightways Corp. 109,628 558 * ORATEC Interventions, Inc. 86,233 558 * MemberWorks, Inc. 39,806 558 Foster Wheeler Ltd. 109,271 557 * SpeechWorks International Inc. 49,509 557 * Illumina, Inc. 47,278 556 * Gartner, Inc. Class B 49,493 554 * CTC Communications Group, Inc. 107,594 554 Ambanc Holding Co., Inc. 25,952 554 * Crown Cork & Seal Co., Inc. 217,839 553 * California Amplifier, Inc. 89,460 552 * AnswerThink Consulting Group, Inc. 84,468 552 * U.S. Energy Corp. 114,846 551 * Lexent Inc. 88,169 551 * TiVo Inc. 84,045 550 Maine Public Service Co. 18,446 549 * Transmeta Corp. 237,720 544 * Prime Hospitality Corp. 49,206 544 * Curative Health Services Inc. 40,261 544 * Covista Communications, Inc. 56,275 543 North Valley Bancorp 39,605 542 * Alcide Corp. 22,591 542 * MGI Pharma, Inc. 35,477 542 * Avici Systems Inc. 186,235 542 Bush Industries, Inc. 49,857 541 * Aware, Inc. 65,147 541 * Active Power, Inc. 79,496 541 * NASSDA Corp. 24,000 540 * Sanchez Computer Associates, Inc. 63,045 539 25 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * SignalSoft Corp. $ 120,313 $ 538 * Spectranetics Corp. 150,121 537 * Gulfmark Offshore, Inc. 18,958 537 * WatchGuard Technologies, Inc. 82,419 537 * Inforte Corp. 38,404 537 * Omega Healthcare Investors, Inc. REIT 88,932 535 Senior Housing Properties Trust REIT 38,406 534 Anthracite Capital Inc. 48,489 533 * Corixa Corp. 35,351 533 * EntreMed, Inc. 62,872 531 * BSQUARE Corp. 127,399 531 * Zonagen, Inc. 75,773 530 * Divine Inc. 714,576 529 * Greka Energy Corp. 61,068 528 * JDA Software Group, Inc. 23,529 526 * First Union Real Estate REIT 220,862 526 * Versant Corp. 129,397 525 * Clarus Corp. 84,186 525 * PRAECIS Pharmaceuticals Inc. 90,237 525 ISCO, Inc. 52,212 525 * Avigen, Inc. 45,312 522 * Mercator Software, Inc. 62,343 521 * MIPS Technologies, Inc. Class B 65,209 520 * SciClone Pharmaceuticals, Inc. 173,337 520 * Capital Pacific Holdings, Inc. 114,124 519 * Datastream Systems, Inc. 84,135 519 * Rochester Medical Corp. 93,739 517 * Lipid Sciences, Inc. 66,552 516 BNP Residential Properties, Inc. 50,006 516 * Impco Technologies Inc. 40,602 515 * Equitable Bank 20,137 515 * M&F Worldwide Corp. 119,557 514 Lone Star Steakhouse & Saloon, Inc. 34,420 510 * Latitude Communications, Inc. 192,617 510 First Bancorp North Carolina 22,613 510 * Proton Energy Systems, Inc. 61,573 508 Superior Uniform Group, Inc. 55,829 505 HMN Financial, Inc. 32,537 504 * Huttig Building Products, Inc. 82,596 504 * Wiser Oil Co. 94,148 504 * CKE Restaurants Inc. 55,609 503 * Energy Partners, Ltd. 66,655 503 * NTL Inc. 533,984 502 * HotJobs.com Ltd. 48,293 502 * Hycor Biomedical Inc. 83,175 502 * Variagenics, Inc. 162,630 501 * PriceSmart, Inc. 14,295 500 Suffolk Bancorp 9,159 500 Penton Media, Inc. Class A 79,780 499 * First Mariner Bancorp, Inc. 54,465 499 * Kana Software, Inc. 25,546 497 * Oplink Communications, Inc. 263,711 497 Standard Motor Products, Inc. 35,708 496 * Ciphergen Biosystems, Inc. 61,929 495 * Horizon Offshore, Inc. 65,402 493 Gerber Scientific, Inc. 52,764 491 * New Focus, Inc. 128,731 490 * Neon Communications, Inc. 180,495 489 * Orchid Biosciences 88,886 489 Patriot Bank Corp. 45,732 487 * 1-800 CONTACTS, Inc. 39,100 486 * PracticeWorks Inc. 48,771 486 * Orapharma Inc. 108,259 486 Prosperity Bancshares, Inc. 18,000 486 * PTEK Holdings, Inc. 142,832 486 * Pegasystems Inc. 111,612 486 * Ceres Group, Inc. 131,434 485 FNB Financial Services Corp. 33,322 485 USG Corp. 84,697 484 * Nanogen, Inc. 83,514 482 * Armstrong Holdings, Inc. 140,338 479 Innkeepers USA Trust REIT 48,779 478 * OSCA, Inc. 22,792 475 * Storage Computer Corp. 74,169 475 CompX International Inc. 36,597 475 * Serologicals Corp. 22,000 473 Allen Organ Co. 15,182 472 Methode Electronics, Inc. Class A 59,001 472 * Imagistics International Inc. 38,188 472 * Laser Vision Centers, Inc. 227,572 471 Fedders Corp. 154,694 470 * Paradigm Genetics, Inc. 82,309 469 * Allen Telecom Inc. 55,169 469 A.O. Smith Corp. 24,000 468 Howell Corp. 44,665 465 * TBC Corp. 34,675 464 * SCM Microsystems, Inc. 31,685 464 * Interep National Radio Sales, Inc. 98,600 463 * Goody's Family Clothing 110,317 463 * DT Industries, Inc. 84,200 463 * Intelidata Technologies Corp. 163,608 463 * Comcast Corp. Class A 12,860 463 The Marcus Corp. 32,684 462 W Holding Co., Inc. 28,548 462 * Actrade Financial Technologies, Ltd. 15,700 462 * Comstock Resources, Inc. 65,935 462 * Martha Stewart Living Omnimedia, Inc. 27,949 460 Southern Peru Copper Corp. 38,447 459 * Todhunter International, Inc. 52,458 459 * Acmat Corp. Class A 60,347 459 * Packeteer, Inc. 62,215 459 * Viasys Healthcare Inc. 22,668 458 * Dynamics Research Corp. 25,514 458 26 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Florida Banks, Inc. $ 75,069 $ 458 * DutchFork Bancshares, Inc. 22,229 458 * Advance Auto Parts, Inc. 9,200 458 * Garden Fresh Restaurant Corp. 69,218 458 Hunt Corp. 59,416 458 Timberline Software Corp. 75,954 456 * Maxim Pharmaceuticals, Inc. 65,811 454 * PharmaNetics, Inc. 62,589 454 * Ramtron International Corp. 100,777 452 Pulaski Financial Corp. 28,699 452 * Digi International, Inc. 70,879 451 Oil-Dri Corp. of America 59,487 451 * Sangamo BioSciences, Inc. 48,126 449 * Regent Communications, Inc. 66,493 449 * Mossimo, Inc. 128,200 449 Investors Title Co. 29,052 449 * Western Multiplex Corp. 82,972 448 * ON Semiconductor Corp. 216,116 447 * Kaiser Aluminum Corp. 275,909 447 National Golf Properties, Inc. REIT 50,174 445 * ZixIt Corp. 87,874 445 * Quality Systems, Inc. 27,049 441 * Metromedia Fiber Network, Inc. 999,911 440 Oak Hill Financial, Inc. 27,824 439 * Viacom Inc. Class A 9,906 438 First Keystone Financial, Inc. 31,203 438 * Bottomline Technologies, Inc. 40,000 433 Bridge View Bancorp 28,167 433 * ITXC Corp. 60,180 433 * Integrated Electrical Services, Inc. 84,489 433 * Park-Ohio Holdings Corp. 135,984 432 * Biosite Inc. 23,535 432 * American Bank Note Holographics, Inc. 266,100 428 * Owens Corning 224,633 427 * ShopKo Stores, Inc. 44,825 426 BMC Industries, Inc. 206,304 425 * Aclara Biosciences, Inc. 83,494 423 * LTC Properties, Inc. REIT 67,330 422 * AP Pharma Inc. 150,724 422 * Magnum Hunter Resources Inc. 50,842 422 * McLeodUSA, Inc. Class A 1,140,019 422 * Texas Biotechnology Corp. 64,877 422 * Black Hawk Gaming & Development Co., Inc. 37,870 420 * Sunrise Telecom Inc. 104,732 420 * Innotrac Corp. 60,858 420 * eXegenics Inc. 125,087 417 * Stoneridge, Inc. 45,671 416 * RCN Corp. 141,584 415 Oneida Ltd. 32,012 415 * Paradyne Networks, Inc. 106,040 414 Team Financial, Inc. 48,142 414 * Designs, Inc. 131,575 412 * Docucorp International 66,380 412 * Captaris Inc. 111,490 411 * Signal Technology Corp. 71,663 411 * Syntellect Inc. 215,322 409 * HomeStore.com, Inc. 204,412 409 * Art Technology Group, Inc. 116,634 406 * SpaceLabs Medical, Inc. 33,346 405 * Jos. A. Bank Clothiers, Inc. 57,195 404 * Advanced Tissue Sciences Inc. 92,710 404 * Startek, Inc. 21,252 403 * Artisan Components, Inc. 25,464 402 * ResortQuest International, Inc. 84,300 401 * Covanta Energy Corp. 88,639 401 * Digitas Inc. 99,610 400 * Actel Corp. 20,100 400 * JNI Corp. 48,108 400 * Mattson Technology, Inc. 45,200 398 Equity Inns, Inc. REIT 60,018 397 * MEMC Electronic Materials, Inc. 111,733 397 * Prima Energy Corp. 18,142 395 * U.S. Vision, Inc. 196,629 393 * Lakes Gaming, Inc. 63,404 393 * Amerco, Inc. 20,878 393 * McMoRan Exploration Co. 67,856 393 * Hyseq, Inc. 50,732 392 * Nashua Corp. 67,215 391 Curtiss-Wright Corp. Class B 8,412 391 Puerto Rican Cement Co., Inc. 20,676 391 * Covansys Corp. 43,220 387 Donnelly Corp. 29,403 387 * Lynx Therapeutics Inc. 95,866 386 Schnitzer Steel Industries, Inc. Class A 27,925 381 * Pinnacle Entertainment, Inc. 63,123 381 * Spherix Inc. 40,077 380 * COMARCO, Inc. 24,924 380 * New Frontier Media, Inc. 126,580 380 * LMI Aerospace, Inc. 87,603 378 * Computer Horizons Corp. 117,385 377 Pennsylvania REIT 16,200 376 * BTU International, Inc. 86,488 375 * Candela Corp. 95,404 375 * Systems & Computer Technology Corp. 36,140 374 * Hartmarx Corp. 225,736 372 * Multimedia Games Inc. 9,800 372 * MCG Capital Corp. 20,900 372 * Mechanical Technology Inc. 135,451 371 * Cysive, Inc. 131,929 371 * Curis, Inc. 65,883 370 * Neogen Corp. 20,400 369 27 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Ask Jeeves, Inc. $ 108,273 $ 368 * Deltek Systems, Inc. 83,223 368 * National Steel Corp. Class B 253,567 368 * Team, Inc. 54,299 367 * H Power Corp. 117,332 366 * Carrier Access Corp. 125,216 366 Omnova Solutions Inc. 53,367 363 * Investors Capital Holdings, Ltd. 144,239 362 * EEX Corp. 195,036 359 * NaPro BioTherapeutics, Inc. 31,476 359 * EZCORP, Inc. 203,809 359 * U.S. Industries, Inc. 139,893 358 * Technisource, Inc. 201,564 357 * Catalytica Energy Systems, Inc. 77,999 356 * j2 Global Communications, Inc. 70,952 351 * Prize Energy Corp. 15,129 350 Burnham Pacific Properties, Inc. REIT 84,667 349 * Global Sports, Inc. 17,473 349 * eXcelon Corp. 297,223 348 Ziegler Cos., Inc. 23,176 348 * Davox Corp. 35,743 346 * American Pharmaceuticals Partners, Inc. 16,600 345 * Brightpoint, Inc. 109,758 345 Psychemedics, Inc. 83,839 344 * Support.com, Inc. 54,687 343 Citizens First Financial Corp. 19,313 342 * The Penn Traffic Co. 64,447 342 * Norstan, Inc. 63,085 341 * ONYX Software Corp. 87,272 340 * StorageNetworks, Inc. 55,053 340 * Netopia, Inc. 61,269 340 Wintrust Financial Corp. 11,100 339 Tech/Ops Sevcon, Inc. 46,681 338 * Genome Therapeutics Corp. 49,528 337 * Cosine Communications, Inc. 217,568 337 * Internap Network Services Corp. 290,374 337 * WJ Communications, Inc. 92,260 337 * J Net Enterprises, Inc. 128,891 334 Greater Community Bancorp 28,384 334 * Paragon Technologies, Inc. 38,030 333 Gulf West Banks, Inc. 34,294 333 Amcast Industrial Corp. 61,741 332 * Clarent Corp. 61,838 332 Leeds Federal Bankshares Inc. 10,468 331 Cadmus Communications 30,586 329 * Wellsford Real Properties Inc. 17,074 328 * Mississippi Chemical Corp. 115,868 328 * General Binding Corp. 25,387 328 * Optical Communication Products, Inc. 83,163 328 * Blue Martini Software, Inc. 108,392 326 * Dave & Busters 51,935 326 * Century Business Services, Inc. 141,027 324 Humphrey Hospitality Trust, Inc. REIT 109,911 324 * 3 Dimensional Pharmaceuticals 38,020 323 Midwest Banc Holdings, Inc. 15,120 321 * Trans World Entertainment Corp. 42,269 321 * Critical Path, Inc. 116,668 320 * Netro Corp. 86,422 317 Mueller (Paul) Co. 10,768 317 * On Command Corp. 103,659 316 * Pozen Inc. 60,135 316 * Seven Seas Petroleum Inc. 149,217 315 * Hexcel Corp. 102,021 314 * Resonate Inc. 111,916 313 * DJ Orthopedics Inc. 23,500 313 * Crossroads Systems, Inc. 69,319 311 A.M. Castle & Co. 37,922 311 * Aspect Communications Corp. 80,136 311 * Daily Journal Corp. 13,239 309 Comm Bancorp, Inc. 10,821 308 * Visual Networks, Inc. 66,662 308 * Predictive Systems, Inc. 156,895 308 * Correctional Services Corp. 153,360 305 * Glenayre Technologies, Inc. 186,956 305 * SatCon Technology Corp. 58,433 304 * SureBeam Corp. 28,976 303 Hopfed Bancorp, Inc. 25,295 303 Urstadt Biddle Properties REIT 28,452 303 * SpeedFam-IPEC, Inc. 101,222 302 * Ditech Communications Corp. 50,104 302 * Interland Inc. 142,243 300 * ViaSat, Inc. 19,200 300 * Proxymed Pharmacy, Inc. 13,429 299 * Track Data Corp. 204,492 299 * Rohn Industries Inc. 144,819 298 * Dyax Corp. 27,181 298 SLI, Inc. 113,972 297 * Luby's, Inc. 52,046 297 * Nabi 28,542 295 * Switchboard Inc. 90,589 294 * Checkers Drive-In Restaurants, Inc. 47,773 293 * Earthshell Corp. 146,040 292 * Navigant Consulting, Inc. 52,830 291 Westpoint Stevens, Inc. 118,529 290 * CacheFlow Inc. 108,120 290 * Click Commerce, Inc. 91,558 289 * Tenneco Automotive, Inc. 141,263 288 * Lexar Media, Inc. 109,001 288 * Xanser Corp. 143,034 287 Analysts International Corp. 69,543 287 * TSR, Inc. 50,147 286 28 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Computer Task Group, Inc. 72,635 286 * Baldwin Technology Class A 235,419 285 * Protection One, Inc. 113,561 284 * Metawave Communications Corp. 90,477 282 * V-One Corp. 197,136 282 * Eden Bioscience Corp. 55,587 282 * ACT Teleconferencing, Inc. 36,800 282 * Tumbleweed Communications Corp. 47,230 281 * NMS Communications Corp. 58,147 280 * Selectica, Inc. 46,305 280 * Troy Group, Inc. 69,106 280 * I-many, Inc. 29,000 280 Lillian Vernon Corp. 41,937 279 * Marvel Enterprises Inc. 73,222 278 * Raindance Communications, Inc. 48,613 278 German American Bancorp 17,118 277 * United Online, Inc. 65,863 277 * Oxigene, Inc. 89,524 275 * AMC Entertainment, Inc. 22,900 275 * Multilink Technology Corp. 42,400 275 * United States Exploration, Inc. 156,800 274 * Lancer Corp. 54,813 274 * W.R. Grace & Co. 176,351 273 * Ventiv Health, Inc. 74,537 273 Herbalife International Class B 20,600 272 HEICO Corp. Class A 20,052 271 * VitalWorks Inc. 47,710 270 Codorus Valley Bancorp, Inc. 18,687 267 First Indiana Corp. 12,149 266 * Immune Response 197,191 264 * Cardinal Financial Corp. 41,291 263 * Tanning Technology Corp. 82,040 263 * Net2Phone, Inc. 38,945 263 * SPSS, Inc. 14,779 262 * Large Scale Biology Corp. 58,266 262 * Jenny Craig Inc. 84,782 261 * Sheffield Pharmaceuticals, Inc. 55,611 261 * Health Management Systems, Inc. 82,729 261 * APAC Teleservices, Inc. 100,165 260 * eSPEED, Inc. 31,364 260 First Merchants Corp. 10,800 259 * Mesaba Holdings, Inc. 36,425 259 * Alteon, Inc. 56,587 257 * Global Payment Tech Inc. 71,317 257 * Cavalier Homes, Inc. 88,727 257 * Price Legacy Corp. 81,231 257 * Mobius Management Systems, Inc. 85,497 256 * SYNAVANT Inc. 64,024 256 * Magnatek 28,378 256 * Comshare 87,502 255 The Laclede Group, Inc. 10,600 253 * U.S. Energy Systems, Inc. 55,518 253 * Comfort Systems USA, Inc. 68,294 253 * RWD Technologies, Inc. 97,413 252 * NetManage, Inc. 245,918 251 * Worldwide Restaurant Concepts Inc. 210,661 251 * Universal Display Corp. 27,474 250 * Insmed Incorporated 65,225 249 * Adept Technology, Inc. 62,039 248 * Vyyo Inc. 170,953 248 * Advanced Magnetics, Inc. 68,638 247 * InKine Pharmaceutical Company, Inc. 158,220 247 * National Information Consortium, Inc. 77,269 246 * Encompass Services Corp. 84,499 245 * OAO Technology Solutions, Inc. 100,118 244 * Epicor Software Corp. 163,925 244 BCSB Bankcorp, Inc. 26,349 244 Republic Bancorp, Inc. 17,440 242 * Gallery of History, Inc. 44,726 242 * United PanAm Financial Corp. 49,659 241 * LightPath Technologies, Inc. 67,460 239 * Transworld Healthcare Inc. 84,026 239 * Steven Madden, Ltd. 17,000 239 * Blount International, Inc. 75,957 239 * SilverStream Software, Inc. 35,012 238 Urstadt Biddle Properties REIT Class A 23,100 237 * Samsonite Corp. 174,557 237 * Integrated Telecom Express, Inc. 134,867 236 * Possis Medical Inc. 13,500 235 * Galyan's Trading Co. 16,500 235 * Uniroyal Technology Corp. 73,353 235 * Multex.com Inc. 52,025 234 Jacksonville Bancorp, Inc. 11,683 234 * CyberSource Corp. 131,026 231 * Liquid Audio, Inc. 98,087 231 Bedford Bancshares, Inc. 16,878 230 * Mayor's Jeweler's, Inc. 143,718 230 * Viant Corp. 137,563 230 * Pumatech, Inc. 88,774 229 * Capital Bank Corp. 21,121 228 * Alpine Group, Inc. 134,149 228 * Electric Fuel Corp. 137,329 228 * ACTV, Inc. 121,037 226 Chester Valley Bancorp 15,910 226 * Zoltek Cos., Inc. 95,221 226 * Braun Consulting, Inc. 63,318 225 * Docent, Inc. 70,681 224 * Ultra Petroleum Corp. 36,777 224 * Wave Systems Corp. 99,932 224 * Fairchild Corp. 76,964 223 29 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Talarian Corp. $ 74,123 $ 222 * TransPro Inc. 71,636 222 * Westell Technologies, Inc. 84,057 222 * Diacrin, Inc. 119,709 221 Sandy Spring Bancorp, Inc. 6,950 221 * Inverness Medical Innovations, Inc. 12,252 221 * MicroStrategy Inc. 57,269 220 Pilgrim's Pride Corp. Class A 22,950 220 * Procom Technology, Inc. 68,825 220 * General Communication, Inc. 25,800 220 * Juno Lighting, Inc. 22,993 218 * Denbury Resources, Inc. 29,800 218 * Be Free, Inc. 102,540 217 * Allscripts Healthcare Solutions, Inc. 66,838 217 * Transgenomic, Inc. 19,659 216 * American Residential Investment Trust, Inc. REIT 102,440 215 * Cortex Pharmaceuticals, Inc. 85,200 215 Washington Trust Bancorp, Inc. 11,287 214 * V.I. Technologies, Inc. 30,854 214 * Crown Media Holdings, Inc. 18,969 214 * EXE Technologies, Inc. 42,056 214 Hubbell Inc. Class A 7,600 214 * Katy Industries, Inc. 62,269 213 AZZ Inc. 9,998 213 * Netscreen Technologies, Inc. 9,600 212 * Choice One Communications Inc. 60,074 210 * Big Dog Holdings, Inc. 67,350 210 Stephan Co. 69,807 209 * o2wireless Solutions, Inc. 119,674 208 * Superior Telecom Inc. 181,210 207 Stifel Financial Corp. 19,601 206 * Terra Industries, Inc. 58,781 206 * Strategic Distribution, Inc. 33,556 205 * Goodrich Petroleum Corp. 48,700 205 * Chart Industries, Inc. 86,800 204 Farmers Capital Bank Corp. 5,554 204 * Liberty Digital, Inc. 58,402 202 * MarketWatch.com, Inc. 61,214 201 * Auspex Systems, Inc. 110,919 200 Resource America, Inc. 21,366 200 * Technology Solutions Co. 89,439 199 * PurchasePro.com, Inc. 161,970 196 * La Jolla Pharmaceutical Co. 21,872 196 * Stamps.Com Inc. 54,441 195 * AT&T Latin America Corp.- Class A 165,112 195 * PLX Technology, Inc. 15,400 194 Penford Corp. 15,439 192 * Boyd Gaming Corp. 29,514 192 First Essex Bancorp, Inc. 6,800 192 Gentek, Inc. 111,980 191 * Vical, Inc. 15,594 191 * Royale Energy, Inc. 29,942 191 * All American Semiconductor, Inc. 47,681 191 Wainwright Bank & Trust Co. 25,694 191 * Niku Corp. 116,762 190 * SeraCare Life Sciences, Inc. 37,801 189 * Infinity, Inc. 17,600 189 * Gilman & Ciocia, Inc. 81,806 187 * Viasystems Group, Inc. 294,172 185 * NewPower Holdings, Inc. 248,440 184 * Sonic Innovations, Inc. 39,822 183 * Unity Bancorp, Inc. 28,159 183 * LookSmart, Ltd. 130,731 183 * Extensity, Inc. 83,850 183 * ATP Oil & Gas Corp. 61,300 183 * Cannondale Corp. 81,392 182 * FARO Technologies, Inc. 81,368 182 * VA Software Corp. 73,785 181 * MeriStar Hotels & Resorts, Inc. REIT 261,664 181 * Cylink Corp. 65,368 180 * VerticalNet, Inc. 128,149 179 * Esenjay Exploration, Inc. 60,600 179 * E-LOAN, Inc. 96,292 177 * ScreamingMedia Inc. 80,508 177 * Capital Title Group, Inc. 73,952 176 * Vicinity Corp. 97,013 176 * Aetrium, Inc. 121,076 176 * Toreador Resources Corp. 37,949 175 * Aksys, Ltd. 37,528 175 * U.S. Laboratories Inc. 19,100 174 * Marimba, Inc. 51,219 173 * Pharmacyclics, Inc. 17,378 173 * ILX Resorts Inc. 25,896 172 * iVillage Inc. 89,405 170 Marine Products Corp. 38,168 170 * The Exploration Co. of Delaware 80,100 170 * Infogrames, Inc. 23,849 169 * ebix.com Inc. 155,885 168 * Wyndham International, Inc. Class A 300,330 168 * Gainsco, Inc. 104,828 168 Staff Leasing, Inc. 65,562 167 * Artisoft, Inc. 96,306 165 * Biopure Corp. 11,500 163 * ITC DeltaCom, Inc. 187,814 163 Banner Corp. 9,659 163 * eCollege.com Inc. 51,225 162 Intermet Corp. 48,406 162 * Emergent Information Technologies, Inc. 62,344 161 * SIGA Technologies, Inc. 55,616 161 30 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- Synalloy Corp. $ 46,335 $ 161 * Franklin Electronic Publishers, Inc. 114,732 161 Blimpie International, Inc. 57,951 161 * SoundView Technology Group, Inc. 68,441 159 * Digex, Inc. 53,319 159 * MIPS Technologies, Inc. 18,306 158 * Anthony & Sylvan Pools Corp. 21,555 158 * Cone Mills Corp. 87,613 158 * Digital Generation Systems 141,705 157 * Edgewater Technology, Inc. 39,734 157 * Badger Paper Mills, Inc. 36,715 156 * Medialink Worldwide, Inc. 59,611 156 * Turnstone Systems, Inc. 39,232 156 * Virologic, Inc. 53,083 154 * Tradestation Group Inc. 98,367 153 National Service Industries, Inc. 75,548 153 * Intertrust Technologies Corp. 123,764 152 * Optical Cable Corp. 93,148 152 * Data Return Corp. 103,833 151 * Freeport-McMoRan Copper & Gold, Inc. Class A 11,512 149 * LCA-Vision, Inc. 168,528 148 * BindView Development Corp. 73,563 148 Investors Real Estate Trust REIT 15,700 148 * Com21, Inc. 107,703 148 * Gaylord Container Corp. 145,171 147 * Atchison Casting Corp. 83,200 146 * 4Kids Entertainment Inc. 7,300 146 * WorldGate Communications, Inc. 58,342 146 * AXT, Inc. 10,100 146 * Group 1 Software, Inc. 9,332 145 * Twinlab Corp. 106,832 144 * National Techteam, Inc. 46,500 144 * Air Methods Corp. 22,659 141 * Level 8 Systems Inc. 51,514 141 * Hall, Kinion & Associates, Inc. 15,025 141 * Rare Medium Group, Inc. 189,858 140 * Official Payments Corp. 40,562 140 * Copper Mountain Networks, Inc. 82,278 139 * Echo Bay Mines Ltd. 260,866 138 * Abraxas Petroleum Corp. 104,000 137 * Radio Unica Corp. 97,786 137 * TCSI Corp. 179,533 136 * Synagro Technologies Inc. 61,340 134 * GenVec, Inc. 27,137 134 * Aradigm Corp. 18,917 134 Comdisco, Inc. 258,121 134 * Autobytel Inc. 77,701 134 * VaxGen, Inc. 11,540 134 * QCF Bancorp, Inc. 4,900 134 * Paradigm Medical Industries, Inc. 54,000 133 * SystemOne Technologies Inc. 59,700 132 First Federal Capital Corp. 8,403 132 First Midwest Financial, Inc. 9,751 132 * Benihana Inc. 8,400 132 * Alliance Pharmaceutical Corp. 38,746 132 * Digital Impact, Inc. 90,829 132 * Cellstar Corp. 156,579 132 * Candie's, Inc. 69,692 131 * Craig Corp. 67,015 131 * Bell Industries, Inc. 60,198 131 * Lifeway Foods, Inc. 19,298 130 * Budget Group, Inc. 145,922 130 * INT Media Group, Inc 68,171 130 International Shipholding Corp. 20,061 128 * LodgeNet Entertainment Corp. 7,500 128 CFS Bancorp, Inc. 8,898 128 * Advanced Lighting Technologies, Inc. 84,977 127 * Harvard Bioscience, Inc. 12,800 127 * ImageWare Systems, Inc. 18,400 127 * Applix, Inc. 90,413 127 * Allied Holdings, Inc. 62,635 127 * Ethyl Corp. 136,712 126 * Nutrition 21 Inc. 175,223 124 * Community West Bancshares 20,707 124 * Federal-Mogul Corp. 156,872 124 * Omega Worldwide, Inc. 75,945 124 * Redhook Ale Brewery, Inc. 73,204 123 * ValueClick, Inc. 42,982 123 * Cytogen Corp. 40,787 123 * Third Wave Technologies 16,659 122 * Conrad Industries, Inc. 23,629 122 * Vestcom International, Inc. 55,806 122 * Appiant Technologies Inc. 50,000 122 * Toymax International, Inc. 71,469 121 * Interpore International 14,600 121 Laser Mortgage Management, Inc. 110,055 121 * Wackenhut Corp. Class B 6,350 121 * eGain Communications Corp. 86,092 121 * Interactive Intelligence Inc. 17,317 120 * GMX Resources Inc. 26,585 120 * Fresh Choice, Inc. 43,708 118 Wayne Savings Bancshares, Inc. 7,232 118 * Integral Systems, Inc. 6,082 117 Konover Property Trust, Inc. REIT 78,039 117 * Engage, Inc. 265,770 117 * Amtech Systems, Inc. 16,124 115 * Ostex International, Inc. 45,671 114 31 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- Medallion Financial Corp. $ 14,402 $ 114 * Novatel Wireless, Inc. 92,906 113 * Adelphia Business Solutions, Inc. 193,995 113 * IntegraMed America, Inc. 17,989 112 Independent Bank Corp. (MI) 4,000 111 * Consumer Portfolio Services, Inc. 80,880 111 * Encore Acquisition Co. 8,305 111 * SoftNet Systems, Inc. 59,707 110 * ClickAction, Inc. 143,233 110 * Aaon, Inc. 4,500 110 * Diedrich Coffee, Inc. 28,001 109 * Network Plus Corp. 94,099 109 * AvantGo, Inc. 62,119 109 * Valentis, Inc. 34,965 108 * A.B. Watley Group Inc. 45,869 108 Salient 3 Communications Class A 109,661 108 * Drugstore.com, Inc. 55,222 108 * Alliance Data Systems Corp. 5,600 107 * Prime Energy Corp. 13,460 107 * Andrea Radio Corp. 124,782 106 * US SEARCH.com Inc. 115,126 106 * Scient, Inc. 252,113 106 * Wink Communications, Inc. 65,946 106 * ActionPoint, Inc. 64,880 105 * Previo, Inc. 63,691 105 * DSL.Net, Inc. 82,929 104 * MTI Technology Corp. 57,869 104 * SmartDisk Corp. 90,341 104 * Medical Action Industries Inc. 6,700 104 * Media 100 Inc. 68,578 102 * A.D.A.M., Inc. 33,841 102 * barnesandnoble.com inc 65,757 101 * Sagent Technology, Inc. 106,538 101 * iBasis, Inc. 77,122 101 * COMFORCE Corp. 83,292 100 * Lowrance Electronics, Inc. 39,905 100 * Jupiter Media Metrix, Inc. 59,966 99 * SpeedUs.com, Inc. 111,123 99 * U.S. Physical Therapy, Inc. 6,100 99 * i3 Mobile, Inc. 65,931 98 * Cardima, Inc. 42,685 96 * Hathaway Corp. 33,350 96 * Banc Corporation 13,732 95 * APW Ltd. 56,989 95 * FirePond, Inc. 72,858 95 * TheStreet.com, Inc. 73,758 94 Astro-Med, Inc. 26,147 94 * Hecla Mining Co. 99,708 94 * Impreso, Inc. 32,000 93 * Belmont Bancorp 26,594 93 * American Skiing Co. 186,152 93 * Primus Telecommunications Group, Inc. 142,930 93 Eastern Virginia Bankshares, Inc. 6,500 92 * New Century Equity Holdings Corp. 184,419 92 * SportsLine.com, Inc. 31,513 92 * Hovnanian Enterprises Class B 9,650 92 * Genomic Solutions Inc. 37,918 91 Terra Nitrogen Co., LP 17,268 91 * JLM Industries, Inc. 56,884 90 * Interleukin Genetics, Inc. 66,007 90 Second Bancorp, Inc. 4,151 90 * Cross Media Marketing Corp 9,931 89 * Net Perceptions, Inc. 52,195 89 * York Research Corp. 113,367 88 * eMerge Interactive, Inc. 65,458 87 * MSCI, Inc. 3,693 87 * Larscom, Inc. Class A 79,611 86 * Horizon Group Properties, Inc. REIT 36,989 85 * Geoworks 86,635 85 * Jacobson Stores Inc. 136,803 85 * Lightspan Inc. 61,422 85 * Perficient, Inc. 72,490 83 * TenFold Corp. 125,043 83 * Hanover Direct, Inc. 228,984 82 * Tut Systems, Inc. 35,403 82 * NMT Medial, Inc. 9,700 82 * Systemax Inc. 33,952 81 * Cyberguard Corp. 57,755 81 * General Bearing Corp. 29,304 81 American National Financial, Inc. 11,200 80 * Exabyte Corp. 74,440 80 * VIA NET.WORKS, Inc. 76,174 78 * Bethlehem Steel Corp. 173,376 78 * SciQuest, Inc. 45,951 78 * Vertel Corp. 115,716 78 * Cellular Technical Services 33,620 77 * SAVVIS Communications Corp. 133,723 76 * GraphOn Corp. 113,770 75 * Miller Industries, Inc. 23,590 75 * Navarre Corp. 68,586 75 * Focal Communications Corp. 119,415 73 * Perceptron, Inc. 55,122 73 * Verisity Ltd. 3,800 72 * Corio, Inc. 60,880 72 * Darling International, Inc. 102,344 72 * General Chemical Group Inc. 21,344 72 * Intraware, Inc. 40,196 70 Habersham Bancorp 4,391 70 32 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Global Power Equipment Group Inc. $ 4,585 $ 69 * Coeur D'Alene Mines Corp. 86,439 68 * Rocky Mountain Chocolate Factory, Inc. 4,786 68 * Precision Optics Corp. 94,583 68 * Corel Participation Rights 66,300 68 * TippingPoint Technologies Inc. 9,131 67 * Canaan Energy Corporation 6,200 67 * eLoyalty Corp. 12,604 67 * Applied Microsystems Corp. 63,575 67 * Bel Fuse, Inc.-Class A 2,773 66 * Caldera International, Inc. 76,855 66 * Webco Industries, Inc. 23,123 65 * Visual Data Corp. 82,929 65 * Profile Technologies, Inc. 99,242 65 Exide Technologies 52,169 64 * Double Eagle Petroleum Co. 17,633 64 * The Advisory Board Co. 2,300 64 United Financial Corp. 3,350 64 * Lante Corp. 52,350 63 * Mpower Holding Corp. 140,662 63 * Omtool, Ltd. 83,808 63 * Talk America Holdings, Inc. 152,399 62 * Accrue Software, Inc. 103,024 62 * HealthAxis, Inc. 90,147 61 * Tripath Technology Inc. 35,659 61 * Creative Host Services, Inc. 47,998 60 * Z-Tel Technologies, Inc. 46,022 60 * Republic First Bancorp, Inc. 12,100 60 * Evergreen Solar, Inc. 17,400 59 * American Real Estate Partners, LP 6,550 59 * Personnel Group of America, Inc. 65,565 58 * Network-1 Security Solutions, Inc. 39,125 58 * Wilshire Oil Co. of Texas 18,510 58 * Pfsweb Inc. 67,684 58 * P-Com, Inc. 170,833 56 * American Access Technologies Inc. 70,247 56 * Lanvision Systems, Inc. 13,075 56 * Insightful Corp 24,016 55 * Network Engines, Inc. 54,515 55 * Taser International Inc. 4,000 55 * Telaxis Communications Corp. 76,210 55 * Loudeye Technologies, Inc. 74,834 55 * Informax, Inc. 18,537 55 * Trump Hotels & Casino Resorts, Inc. 47,513 55 * FairMarket, Inc. 47,765 53 * Headway Corporate Resources, Inc. 152,392 53 * Beta Oil & Gas, Inc. 10,800 53 * LecTec Corp. 39,750 52 Moyco Technologies, Inc. 29,140 52 Sphinx International Inc. 50,500 51 * Carrington Labs Inc. 49,882 51 * FINOVA Group, Inc. 83,346 51 * Zamba Corp. 84,293 51 * Billserv, Inc. 46,478 50 * Catalina Lighting, Inc. 146,000 50 * XO Communications Inc. Class A 514,558 49 * Harken Energy Corp. 39,647 49 * Ampex Corp. Class A 350,153 49 * High Speed Access Corp. 86,832 49 Rouge Industries Inc. 35,866 48 * Astea International, Inc. 66,248 48 * Capital Trust Class A 8,371 48 * Willis Lease Finance Corp. 10,345 48 * Motient Corp. 114,246 48 * Koala Corp. 53,300 48 * Triton Network Systems, Inc. 70,445 48 * NextCard, Inc. 92,078 48 * International Smart Sourcing, Inc. 11,358 47 * Callon Petroleum Co. 6,786 46 * Optika Inc. 44,196 46 Ameriana Bancorp 3,400 46 * Epimmune Inc. 15,157 45 * The Meridian Resource Corp. 11,351 45 * Computer Motion, Inc. 11,300 45 * Trailer Bridge, Inc. 32,946 44 * WHX Corp. 28,033 43 * Ag Services of America, Inc. 3,903 43 Fedders Corp. Class A 15,226 43 * Metromedia International Group, Inc. 52,400 42 * Ezenia!, Inc. 102,053 42 * NaviSite, Inc. 116,091 42 * Gadzoox Networks, Inc. 59,526 42 * Audible, Inc. 55,321 41 * eLEC Communications Corp. 109,175 41 * GoAmerica, Inc. 18,195 41 * Paxar Corp. 2,900 41 * Axonyx Inc. 11,600 41 * ARK Restaurants Corp. 5,000 41 * InsWeb Corp. 9,521 40 * Airnet Communications Corp. 95,361 40 * Saucony Inc. 7,600 40 * Matritech Inc. 14,000 40 * Microvision, Inc. 2,700 38 Knape & Vogt Manufacturing Co. 2,900 38 * QAD Inc. 12,976 38 * TurboChef, Inc. 9,673 38 * YouthStream Media Networks, Inc. 29,500 37 33 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Frontstep, Inc. $ 6,952 $ 36 * Versata, Inc. 39,630 36 * Conductus, Inc. 13,000 35 * Interliant Inc. 101,175 35 * StarMedia Network, Inc. 93,076 35 * Organic, Inc. 108,918 35 * ZEVEX International, Inc. 12,257 34 * Applied Graphics Technologies, Inc. 64,726 34 * MessageMedia Inc. 244,780 34 Reckson Associates Realty Corp. Class B REIT 1,338 34 * Integra, Inc. 25,271 34 Reader's Digest Assn., Inc. Class B 1,500 34 * Detwiler, Mitchell & Co. 32,186 33 * Primus Knowledge Solutions, Inc. 39,611 33 * IVAX Diagnostics, Inc. 9,434 33 * USinternetworking, Inc. 158,424 32 * Pinnacle Holdings Inc. REIT 92,527 31 * Storage Engine Inc. 25,000 31 * Accelerated Networks, Inc. 77,466 31 * Versar Inc. 9,000 31 * Steak n Shake Company 2,800 31 * SEEC, Inc. 22,050 31 * Direct Insite Corp. 24,027 31 * Razorfish Inc. 137,060 30 * SVB Financial Services 3,000 30 * On2 Technologies, Inc 87,907 30 * Chaparral Resources, Inc. 19,536 29 * Continucare Corp. 63,419 29 * Geerlings & Wade Inc. 30,636 29 * EasyLink Services Corp. 59,180 29 * MAII Holdings, Inc 12,843 28 * The Fortress Group, Inc. 14,072 28 * Industri-Matematik International Corp. 26,340 27 SNB Bancshares, Inc. 1,800 26 * Adams Golf, Inc. 69,466 26 * INSpire Insurance Solutions, Inc. 79,419 26 * Navidec, Inc. 65,271 26 * Pac-West Telecom, Inc. 47,045 26 * DA Consulting Group, Inc. 102,051 26 * Parallel Petroleum Corp. 8,000 25 * VCampus Corp. 56,978 25 * Life Financial Corp. 12,201 25 * Ventro Corp. 63,806 25 * Birmingham Steel Corp. 76,781 25 American Home Mortgage Holdings, Inc. 2,000 24 * Penn Octane Corp. 6,536 24 Pittsburgh & West Virginia Railroad 2,927 24 * Carreker Corp. 4,000 24 * Total Entertainment Restaurant Corp. 6,701 24 * RF Monolithics, Inc. 7,427 23 * Merisel, Inc. 14,170 23 * USDATA Corp. 16,610 23 * Beacon Power Corp. 17,664 23 * Advanced Switching Communications, Inc. 20,268 23 * BioSphere Medical Inc. 2,000 23 * Chiquita Brands International, Inc. 35,060 22 * Internet Pictures Corp. 10,620 22 * Friede Goldman Halter, Inc. 117,361 22 * Starcraft Corp. 5,500 22 * Comdial Corp. 67,088 22 * Keystone Consolidated Industries, Inc. 33,746 22 * Targeted Genetics Corp. 8,079 22 * Vixel Corp. 11,757 22 Commonwealth Bancorp 976 22 * Euroweb International Corp. 11,922 22 * Provant, Inc. 38,733 21 * EChapman.com, Inc. 11,314 21 Virginia Commonwealth Financial 700 20 * Tickets.com, Inc. 8,974 20 * Criimi Mae, Inc. REIT 5,005 20 * M-WAVE, Inc. 4,000 20 * Imperial Credit 43,048 20 * Exchange Applications, Inc. 78,146 20 * Century Casinos, Inc. 8,700 19 * Pierre Foods, Inc. 8,293 19 * Guilford Mills, Inc. 32,244 19 * ATEC Group, Inc. 29,661 19 * Magellan Petroleum Corp. 21,466 18 * Landenburg Thalmann Financial Services, Inc. 21,199 18 * Highlands Insurance Group 165,473 18 * Evolve Software, Inc. 49,150 18 * Genzyme Transgenics Corp. 3,100 18 * 24/7 Real Media, Inc. 76,202 18 * Star Buffet, Inc. 7,414 17 * ICO, Inc. 14,343 17 * Vornado Operating Inc. REIT 33,478 17 Main Street Banks, Inc. 1,000 16 Union Bankshares Corporation 1,000 16 eBT International, Inc. 77,317 16 Bandag, Inc. Class A 538 16 * Alphanet Solutions, Inc. 7,707 16 Gaston Federal Bancorp, Inc. 1,000 15 * IEC Electronics Corp. 37,285 15 * Collagenex Pharmaceuticals, Inc. 1,800 15 * PeoplePC Inc. 64,058 14 * Major Automotive Companies Inc. 17,395 14 34 - -------------------------------------------------------------------------------- MARKET VALUE* SHARES (000) - -------------------------------------------------------------------------------- * Information Architects Corp. $ 60,390 $ 14 * Innovative Medical Services 6,829 14 * DGSE Companies, Inc. 4,000 14 Collins Industries, Inc. 4,000 14 * Allied Riser Communications Corp. 79,902 14 * Triangle Pharmaceuticals, Inc. 3,351 13 * Merry Land Properties, Inc. REIT 1,705 13 * NeoMedia Technologies, Inc. 90,976 13 * Dendreon Corp. 1,228 12 * Hayes Lemmerz International, Inc. 45,796 12 * Onvia.com, Inc. 21,658 12 * Driversshield.com Corp. 9,268 12 * Aames Financial Corp. 34,100 12 * MedicaLogic/Medscape, Inc. 41,357 12 * Leapnet, Inc. 5,953 11 Clarion Commercial Holdings, Inc. 4,203 11 * Aqua Care Systems, Inc. 5,172 10 * Verso Technologies, Inc. 7,806 10 * Beyond.com Corp. 8,012 10 * IGI, Inc. 16,672 10 * Rainmaker Systems, Inc. 39,608 10 West Coast Bancorp 700 10 * Frisby Technologies, Inc. 4,195 10 * Catalyst International, Inc. 3,600 10 * Interstate Hotels Corp. REIT 6,763 10 * AppliedTheory Corp. 59,512 10 * Frontline Communications Corp. 52,685 9 * Classic Vacation Group, Inc 72,189 9 * ARTISTdirect, Inc. 634 9 * Vermont Teddy Bear Co., Inc. 2,761 9 * Cypress Communications, Inc. 5,603 9 * Electronic Retailing Systems International, Inc. 35,000 9 * Globix Corp. 60,070 9 * Corrpro Cos., Inc. 3,200 9 * SPEEDCOM Wireless Corp. 9,444 9 * Aviation General Inc. 27,902 8 * GC Cos 33,164 8 * Avenue A, Inc. 4,490 8 * Royal Precision Inc. 5,659 7 * uniView Technologies Corp. 11,915 7 CoBiz Inc. 500 7 * Sanders Morris Harris Group Inc. 1,304 7 * DiaSys Corp. 5,071 7 * Frontline Capital Group 56,587 6 * MacroChem Corp. 2,000 6 * SteelCloud Inc 4,879 6 * Cybear Group 16,376 5 * Innovative Gaming Corp. 9,803 5 * The A Consulting Team, Inc. 18,542 5 * Alterra Healthcare Corp. 48,194 5 * National Technical Systems, Inc. 4,293 5 * Crescent Operating, Inc. REIT 166,920 5 * Luminant Worldwide Corp. 42,536 5 * NX Networks, Inc. 84,590 5 * The IT Group, Inc. 91,524 5 * FiberNet Telecom Group, Inc. 12,098 4 * Physiometrix, Inc. 2,000 4 * CTI Industries Corp. 2,440 4 * Antigenics Inc. Contingent Value Rights 27,219 4 * USABancShares.com, Inc. 11,706 4 South Alabama Bancorporation, Inc. 400 4 * Aastrom Biosciences, Inc. 4,000 4 * Cytrx Corp. 5,759 4 * iPrint Technologies Inc. 16,003 4 * FirstCity Financial Corp. 2,929 4 * ProcureNet, Inc. 22,500 3 * ANC Rental Corp. 108,825 3 * Click2learn, Inc. 1,000 3 * Segue Software, Inc. 1,400 3 * MediChem Life Sciences, Inc. 2,000 3 * Cambridge Heart, Inc. 1,000 3 * OmniSky Corp. 154,576 3 * Clare, Inc. 1,000 2 * Viador, Inc. 38,200 2 * Radio One, Inc. 116 2 * Go2Pharmacy, Inc. 1,950 2 * TechSys, Inc. 4,877 2 * T-3 Energy Services, Inc. 177 2 * I-Link Inc. Series N Pfd. 69 2 * PartsBase Inc. 2,538 2 * PowerCerv Corp. 2,844 2 * Ashford.com, Inc. 6,541 2 * Datawatch Corp. 1,300 2 * Burlington Industries, Inc. 46,437 2 * Provell, Inc. 1,000 2 * Maxcor Financial Group Inc. 300 2 Webster City Federal Bancorp 100 2 * Entrada Networks, Inc. 13,242 2 * New World Restaurant Group, Inc. 5,851 2 * Webb Interactive Services, Inc. 2,000 1 * I-Link, Inc. 18,762 1 * Alanco Technologies, Inc. 1,687 1 * The viaLink Co. 6,333 1 * USOL Holdings, Inc. 974 1 * Vizacom Inc. 1,361 1 * BRIAZZ, Inc. 1,000 1 * Elastic Networks Inc. 1,170 1 * Cepheid, Inc. 200 1 * Insilco Holding Corp. 401 1 * Verado Holdings, Inc. Class B 19,876 1 * Heartland Technology, Inc 7,517 1 * Inland Resources Inc. 500 1 35 - -------------------------------------------------------------------------------- MARKET TOTAL STOCK MARKET VALUE* INDEX FUND SHARES (000) - -------------------------------------------------------------------------------- * Magnum Sports & Entertainment, Inc. $ 6,046 $ 1 * iBEAM Broadcasting Corp. 16,001 1 * Florsheim Group Inc. 2,928 1 * Precision Auto Care, Inc. 1,600 1 * Penncorp. Financial Group, Inc. 43,500 0 - -------------------------------------------------------------------------------- TOTAL COMMON STOCKS (Cost $24,465,949) $ 24,948,330 - -------------------------------------------------------------------------------- FACE AMOUNT (000) - -------------------------------------------------------------------------------- TEMPORARY CASH INVESTMENTS (1.0%) (1) - -------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (2) 2.30%, 1/9/2002 $ 10,000 9,997 REPURCHASE AGREEMENTS Collateralized by U.S. Government Obligations in a Pooled Cash Account 1.69%, 1/2/2002--Note F 151,447 151,447 1.75%, 1/2/2002 96,760 96,760 - -------------------------------------------------------------------------------- TOTAL TEMPORARY CASH INVESTMENTS (Cost $258,202) 258,204 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS (100.5%) (Cost $24,724,151) 25,206,534 - -------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (-0.5%) - -------------------------------------------------------------------------------- Other Assets--Note B 193,381 Liabilities--Note F (311,603) ------------- (118,222) ------------- - -------------------------------------------------------------------------------- NET ASSETS (100%) $ 25,088,312 ================================================================================ * See Note A in Notes to Financial Statements. * Non-income-producing security. (1) The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.9% and 0.6%, respectively, of net assets. See Note E in Notes to Financial Statements. (2) Security has been segregated as initial margin for open futures contracts. REIT--Real Estate Investment Trust. - -------------------------------------------------------------------------------- AMOUNT (000) - -------------------------------------------------------------------------------- AT DECEMBER 31, 2001, NET ASSETS CONSISTED OF: - -------------------------------------------------------------------------------- Paid-in Capital--Note D $ 24,826,677 Overdistributed Net Investment Income (16,650) Accumulated Net Realized Losses--Note D (205,108) Unrealized Appreciation--Note E Investment Securities 482,383 Futures Contracts 1,010 - -------------------------------------------------------------------------------- NET ASSETS $ 25,088,312 ================================================================================ Investor Shares--Net Assets Applicable to 612,998,852 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 15,781,453 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INVESTOR SHARES $ 25.74 ================================================================================ Admiral Shares--Net Assets Applicable to 151,251,061 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 3,893,998 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- ADMIRAL SHARES $ 25.75 ================================================================================ Institutional Shares--Net Assets Applicable to 163,808,923 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 4,217,402 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- INSTITUTIONAL SHARES $ 25.75 ================================================================================ VIPER(TM) Shares--Net Assets Applicable to 11,299,425 outstanding $.001 par value shares of beneficial interest (unlimited authorization) $ 1,195,459 - -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE-- VIPER SHARES $ 105.80 ================================================================================ (C)2002 The Vanguard Group, Inc. All rights reserved. Vanguard Marketing Corporation, Distributor. F850 022002 -----END PRIVACY-ENHANCED MESSAGE-----